Background Physical inactivity has been identified as a risk factor for depression and, less often, as a long-term consequence of depression. Underexplored is whether similar bi-directional longitudinal relationships are observed for anxiety disorders, particularly in relation to three distinct indicators of activity levels - sports participation, general physical activity and sedentary behavior. Method Participants were from the Netherlands Study of Depression and Anxiety (NESDA; N = 2932, 18-65 years old; 57% current anxiety or depressive disorder, 21% remitted disorder, 22% healthy controls). At baseline, 2, 4, and 6 years, participants completed a diagnostic interview and self-report questionnaires assessing psychopathology symptom severity, physical activity indicators, and sociodemographic and health covariates. Results Consistently across assessment waves, people with anxiety and/or depressive disorders had lower sports participation and general physical activity compared to healthy controls. Greater anxiety or depressive symptoms were associated with lower activity according to all three indicators. Over time, a diagnosis or greater symptom severity at one assessment was associated with poorer sports participation and general physical activity 2 years later. In the opposite direction, only low sports participation was associated with greater symptom severity and increased odds of disorder onset 2 years later. Stronger effects were observed for chronicity, with lower activity according to all indicators increasing the odds of disorder chronicity after 2 years. Conclusions Over time, there seems to a mutually reinforcing, bidirectional relationship between psychopathology and lower physical activity, particularly low sports participation. People with anxiety are as adversely affected as those with depression.