It has been demonstrated that athletes in competitive sports suffer from high levels of competitive anxiety, especially in the case of females. In this sense, it is necessary to identify possible risk and protective factors of those athletes in this collective who suffer from this type of anxiety. However, few studies analyze the relationship between Physical Activity (PA) and anxiety, identifying the possible mediation effect of trait variables such as impulsivity and mindfulness in female athletes. Hence, the aims of this study were: to determine differences between PA levels with anxiety, mindfulness, and impulsiveness; to identify the predictive value of sociodemographic factors and physical activity, impulsivity, and mindfulness on anxiety factors; and to analyze the possible mediating effects of mindfulness on the relationship between impulsivity and anxiety. A total of 242 female athletes underwent an assessment of physical activity, anxiety, mindfulness traits, and impulsivity using validated questionnaires. Data were analyzed according to (1) individual or collective sport, and (2) PA levels according to energy expended (METs min/day). Participants were grouped by light, moderate, and vigorous PA levels. There were 30.5% elite athletes and 73.2% collective sports athletes. Mean age was 22.1 years and mean light, moderate, and vigorous PA were 86.1 ± 136.2, 114.4 ± 159.8, and 370.1 ± 336.3 METs min/day, respectively. Those athletes performing vigorous PA exhibited lower levels of impulsiveness and higher mindfulness traits. As expected, the mindfulness trait was a mediating factor in the relationship between impulsiveness and each factor of competitive anxiety (cognitive, somatic, and self-efficacy). Female athletes could suffer competitive anxiety, especially those who present higher levels of impulsivity. However, higher levels of mindfulness traits seem to be a protective factor in the effects of impulsivity on anxiety in this population and have demonstrated to be significant mediators in this association. Further studies are needed with other female athletes to replicate these results and to determine the specific protective mechanisms of mindfulness traits in preventing competitive anxiety.