Previous case–control studies have suggested a possible increased risk of Amyotrophic Lateral Sclerosis (ALS) with physical activity (PA), but this association has never been studied in prospective cohort studies. We therefore assessed the association between PA and risk of death from ALS in the European Prospective Investigation into Cancer and Nutrition. A total of 472,100 individuals were included in the analysis, yielding 219 ALS deaths. At recruitment, information on PA was collected thorough standardised questionnaires. Total PA was expressed by the Cambridge Physical Activity Index (CPAI) and analysed in relation to ALS mortality, using Cox hazard models. Interactions with age, sex, and anthropometric measures were assessed. Total PA was weakly inversely associated with ALS mortality with a borderline statistically significant trend across categories (p = 0.042), with those physically active being 33 % less likely to die from ALS compared to those inactive: HR = 0.67 (95 % CI 0.42–1.06). Anthropometric measures, sex, and age did not modify the association with CPAI. The present study shows a slightly decreased—not increased like in case–control studies—risk of dying from ALS in those with high levels of total PA at enrolment. This association does not appear confounded by age, gender, anthropometry, smoking, and education. Ours was the first prospective cohort study on ALS and physical activity.