Background: The World Health Organization (WHO) recommends at least 150 min of moderate or vigorous activity (MVPA) per week for health benefits. However, meeting WHO guidelines for physical activity has been shown to be a great challenge for general populations and it may be even more difficult for undergraduate students due to elevated academic demand, thus negatively affecting general health status. Thus, this study investigated whether undergraduate students meeting WHO guidelines for physical activity show greater scores for symptoms of anxiety, depression, and poor quality of life than their counterparts not meeting guideline recommendations. Additionally, symptoms of anxiety, depression, and poor quality of life among academic areas were compared. Methods: This is a cross-sectional study. The participants were recruited through messaging apps or institutional e-mail. The participants filled out an online consent form, questionnaires to assess demographic and academic characteristics, the International Physical Activity Questionnaire, the Beck depression and anxiety inventory, and the short-form 36-item health survey questionnaire. The participants were classified as physically active (MVPA > 150 min/week) or inactive (MVPA < 150 min/week) according to WHO Guidelines. Results: A total of 371 individuals were included in the analysis. Physically inactive students demonstrated higher scores of depression (17.96 vs. 14.62; 95% CI: −5.81 to −0.86; p = 0.0083) than physically active ones. SF-36 analyses revealed that physically inactive students had lower values in mental (45.68 vs. 52.77; 95% CI: 2.10 to 12.06; p = 0.0054) and physical (59.37 vs. 67.14; 95% CI: 3.24 to 12.30; p = 0.0015) domains compared with physically active ones. As for SF-36 subscales, physically inactive students showed lower scores in function capacity (70.45 vs. 79.70; 95% CI: 4.27 to 14.49; p = 0.0003), mental health (45.57 vs. 55.60; 95% CI: 5.28 to 14.76; p < 0.0001), social aspects (48.91 vs. 57.69; 95%CI: 3.47 to 14.08; p = 0.0012), vitality (42.19 vs. 50.61; 95% CI: 3.47 to 13.35; p = 0.0009), pain (61.85 vs. 68.00; 95% CI: 1.27 to 11.02; p = 0.0135), and general health status (53.82 vs. 63.81; 95% CI: 5.21 to 14.75; p < 0.0001) than their physically active peers. Conclusions: The findings suggest that undergraduate students who do not meet WHO guidelines for physical activity display higher scores of anxiety, depression, and poor quality of life in comparison with their counterparts meeting physical activity guidelines. Collectively, these data suggest the need for academic institutions and policy makers to monitor and promote in-campus interventions to encourage physical activity.