Human literature documenting that PA may confer protective effects on mental health by influencing the stress response offer inconsistent evidence, which may be due to the lack of consideration of whether PA’s protective effects vary according to individual differences in anxiety. Undergraduate student participants (N = 128) completed online measures of PA level, trait anxiety, and self-perceived stress resilience. The interaction between PA and trait anxiety was assessed using multiple hierarchical linear regression analyses. Among individuals with high anxiety vulnerability, there was a significant positive relation between recreational PA and self-perceived stress; however, there was no significant relation between recreational PA and self-perceived stress resilience, among individuals with low and moderate trait anxiety. In conclusion, individuals with high anxiety vulnerability, which may be a risk factor for developing mental health problems, may preferentially benefit from the protective effects of PA on mental health through the stress response.