Mass media campaigns are conducted to influence community norms around health behaviours, including physical activity. Campaigns can reach large populations at relatively low cost, to influence awareness, knowledge and beliefs through to intention and behaviour change. We reviewed 15 campaigns with an explicit focus on physical activity, and explored impacts upon a range of proximal and distal variables. Campaigns achieved high recall, with a median of 70% of the target group aware of the campaign. Increases in knowledge or attitudes to physical activity were found among half the campaigns that reported this measure. Few campaigns reported other proximal variables, such as saliency, beliefs, self-efficacy or behavioural intention. Increases in physical activity were reported among motivated sub-groups of volunteers, but few campaigns reported population increases in activity. Campaigns increase awareness of the issue of physical activity but may not have a population-level effect on behaviour. Campaigns should focus more on influencing proximal variables, such as social norms, to bring about long-term behaviour change. This should be seen as part of a broader strategy, including policy and environmental change. Evaluation designs that measure the full range of variables are preferred to an over-concentration on behaviour alone.