Physical activity (PA) has the potential to bring about favourable changes in plasma lipid profile. However, the relationship between PA and remnant cholesterol (RC) remains unclear. We aimed to study the link between PA and RC using the database of the 2007–2020 National Health and Nutrition Examination Survey (NHANES). PA was categorized based on Physical Activity Guidelines for Americans. A multivariate linear regression model was used to determine the correlations between PA and RC. The study involved a total of 18,396 participants and revealed that individuals whose PA met the guidelines by engaging in moderate‐intensity PA at least 150 min per week had lower body mass index and showed decreased levels of triglyceride, TC, and haemoglobin A1c compared to those who were physically inactive, exercising <150 min per week. Participants whose intensity of PA meets PA guidelines had a lower level of RC than those who did not met PA guidelines ( β = −1.3, 95% confidence interval [CI]: −1.9 to −0.7, p < 0.001), even after adjusting for confounders. During subgroup analysis, we observed that race ( p interaction = 0.0089) emerged as a significant factor of interaction.