The underlying mechanisms linking physical activity to better health are not fully understood. Here we examined the associations between physical activity and small circulatory molecules, the metabolome, to highlight relevant biological pathways. We examined plasma metabolites associated with self-reported physical activity among 2217 participants from the Airwave Health Monitoring Study. Metabolic profiling was conducted using the mass spectrometry-based Metabolon platform (LC/GC–MS), measuring 828 known metabolites. We replicated our findings in an independent subset of the study (n = 2971) using untargeted LC–MS. Mendelian randomisation was carried out to investigate potential causal associations between physical activity, body mass index, and metabolites. Higher vigorous physical activity was associated (P < 0.05/828 = 6.03 × 10–5) with circulatory levels of 28 metabolites adjusted for age, sex and body mass index. The association was inverse for glutamate and diacylglycerol lipids, and direct for 3–4-hydroxyphenyllactate, phenyl lactate (PLA), alpha-hydroxy isovalerate, tiglylcarnitine, alpha-hydroxyisocaproate, 2-hydroxy-3-methylvalerate, isobutyrylcarnitine, imidazole lactate, methionine sulfone, indole lactate, plasmalogen lipids, pristanate and fumarate. In the replication panel, we found 23 untargeted LC–MS features annotated to the identified metabolites, for which we found nominal associations with the same direction of effect for three features annotated to 1-(1-enyl-palmitoyl)-2-oleoyl-GPC (P-16:0/18:1), 1-(1-enyl-palmitoyl)-2-linoleoyl-GPC (P-16:0/18:2), 1-stearoyl-2-dihomo-linolenoyl-GPC (18:0/20:3n3 or 6). Using Mendelian randomisation, we showed a potential causal relationship between body mass index and three identified metabolites. Circulatory metabolites are associated with physical activity and may play a role in mediating its health effects.