Objective: Female post-secondary students typically engage in less physical activity than their male counterparts. Given that women have greater anxiety sensitivity (ie, fear of arousal-based body sensations) and anxiety sensitivity is inversely related to physical activity participation, this study sought to determine if anxiety sensitivity mediates gender differences in self-reported physical activity. Participants and methods: A sample of 802 post-secondary students completed the Anxiety Sensitivity Index-3 and a Lifestyles Questionnaire in September 2017. Results: Women reported significantly less physical activity and significantly greater anxiety sensitivity. Anxiety sensitivity was significantly and inversely related to self-reported physical activity. A significant indirect effect of gender on physical activity via anxiety sensitivity was shown (B = 5.56, SE = 2.81, p < 0.05, 95% CI [1.31, 12.78], P[subscript M] = 0.0843). Conclusions: Results suggest that anxiety sensitivity partially explains gender differences in physical activity. Anxiety sensitivity reduction interventions might increase physical activity participation and reduce the existing gender gap.