In the current research, sleep duration, sedentary behaviour, physical activity, and their relationship with several anxiety symptoms among college students were examined. This study was a cross-sectional study, and study respondents were recruited from college students. A total of 1,475 of college students were included for analysis. Sedentary behaviours and physical activity were assessed by the International Physical Activity Questionnaire Short Form, while sleep duration was assessed by the Chinese version Pittsburgh Sleep Quality Index. To assess the anxiety symptoms of study respondents, the Generalised Anxiety Disorder-7 was used. The compositional data was analysed in R to estimate the associations between replacements among physical activities, sedentary behaviours, and sleep and anxiety symptoms. Results indicated a greater impact was imposed on the alleviation of anxiety symptoms by substituting sedentary behaviours with physical activity at moderate to vigorous intensity. In the current research, the significance of moderate to vigorous physical activity should be highlighted in preventing anxiety among Chinese college students.