The aim of the study was to determine the association between the amount and the intensity of physical activity (PA) and lipid profile and fitness in pre-menopausal women. A cross-sectional study was conducted, sampling was stratified according to two age groups and two levels of PA, as assessed by the Minnesota Leisure Time PA Questionnaire. Serum lipid profile and sex hormones were measured. The study included 403 women. Total energy expenditure on PA was directly associated with HDL-cholesterol and inversely with atherogenic index. When intensity was analyzed, only moderate PA was associated with a desirable lipid profile. A decrease of 1.59 mg/dL (standard error [SE] = 0.77) and 0.07 units (SE = 0.02) in LDL-cholesterol and atherogenic index, respectively, and an increase of 1.02 mg/dL (SE = 0.34) in HDL-cholesterol were observed per each 100 MET . min/day spent in moderate PA. After adjusting for body fat mass, the association between moderate PA and LDL-cholesterol was no longer statistically significant (regression coefficient = - 1.21; SE = 0.81) whereas the association between moderate PA and atherogenic index (regression coefficient = - 0.05; SE = 0.02) and HDL-cholesterol (regression coefficient = 0.98; SE = 0.35) remained statistically significant. Only vigorous PA was associated with VO2max. VO2max increased 2.35 mL/kg (SE = 0.39) per each 100 MET . min/day spent in vigorous PA. Only moderate PA is associated with a lower LDL-cholesterol and atherogenic index, and higher HDL-cholesterol. The association between PA and LDL is dependent on body fat mass, but the association between PA and HDL is independent of it. Only vigorous intensity PA is associated with fitness.