Background Previous studies suggest that physical activity (PA) may afford protection against cancer risk. Methods This study evaluated longitudinal associations between PA and cancer mortality in the nationally representative Third National Health and Nutrition Examination Survey (NHANES III; 1988–1994), with an average follow‐up of 8.5y to mortality. Mortality was ascertained using National Death Index certificates. Metabolic equivalents (METS) were calculated from self‐reported PA collected in an in person‐interview. Cox‐proportional hazards models were used to compute hazard ratios (HR) for cancer mortality using SUDAAN in relation with level of PA. Results Any mention of PA vs. sedentary lifestyle was protective against cancer mortality (adjusted for age, race, sex, smoking, and BMI)(HR: 0.63, 95% CI: 0.47–0.84). High intensity PA was associated with further risk reduction (HR: 0.46, 95% CI: 0.27 – 0.78). Subjects in the highest vs. lowest tertile of METS had a 43% reduced risk of cancer mortality (HR:0.57, 95%CI: 0.41–0.80), p‐trend = 0.004. Leisure activity (gardening, dancing, yard work, and “other” active hobbies) was also associated with reduced risk of cancer mortality (HR:0.51, 95% CI:0.33–0.78). Conclusion In these preliminary analyses, all forms of PA confer protection against cancer mortality. PA should be considered as an integral part of cancer management.