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To explore the association between depression and anxiety symptoms among college students and the relationship between the two and physical activity. A cross-sectional study design was used to survey 1790 enrolled university students using the Depression Self-Rating Scale, Anxiety Self-Rating Scale and Physical Activity Rating Scale. 37.75% of male students and 39.73% of female students detected depressive symptoms, 17.65% of male students and 17.86% of female students detected anxiety symptoms, 11.89% of male students and 11.75% of female students detected both depressive and anxiety symptoms. Canonical correlation between depression and anxiety symptoms of college students were significant. The depression and anxiety score of college students in the high level group was significantly lower than that in the low and medium level groups, and no significant difference was found between the low and medium level groups. Affective disorder and anxious mood of male students correlated most closely with intensity, while somatic disorder, psychomotor disorder and depressive psychological disorder correlated most closely with duration. Affective disorder of female students correlated most closely with frequency, depressive psychological disorder and anxious mood correlated most closely with intensity, while premonition of misfortune and frequent urination correlated most closely with duration. Depression and anxiety symptoms of college students were closely related and co-occurrence was common. Students with high level of physical activity had milder symptoms. Different exercise interventions are recommended for different symptoms. [ABSTRACT FROM AUTHOR]