This study analyzed the association between physical activity levels and the risk of generalized anxiety disorder (GAD) among Korean adolescents using raw data from the 2022 Korea Youth Risk Behavior Survey. This study’s participants are 51,850 students, including 28,015 middle school students and 23,835 high school students. To identify the association between physical activity level and generalized anxiety disorder, I conducted a complex sample frequency analysis, cross-tabulation analysis, and logistic regression analysis to calculate odds ratio and confidence intervals. Results showed that the risks of experiencing GAD and perceived stress levels tended to increase with higher grade levels and lower academic achievement and economic status. Higher levels of physical activity, particularly vigorous physical activity and resistance exercise, were associated with a lower risk of GAD. This association remained significant even after controlling for socioeconomic factors and stress levels. However, the association between physical activity and GAD risk differed by gender. For female students, moderate-intensity physical activity showed a tendency to slightly lower anxiety levels when controlling for socioeconomic factors and stress levels, while resistance exercise showed a negative relationship with anxiety levels. These findings emphasize the importance of physical activity promotion programs for improving adolescent mental health and suggest the need for differentiated intervention strategies that consider gender, grade level, and socioeconomic factors.