The university population is at a vital stage of human development for acquiring an active lifestyle. Following this lifestyle will bring benefits in adulthood. This study seeks to analyse the relationship between physical activity and bodily pain, mental hyperactivity, and sleep quality as a function of the intensity of physical activity. A comparative, descriptive, and exploratory study is presented in a sample of 506 university students. The International Physical Activity Questionnaire, the Chronic Pain Grade Questionnaire, the Mental Hyperactivity Questionnaire, and the Pittsburgh Sleep Quality Index were used. The proposed model analyses the relationships of physical activity to bodily pain, mental hyperactivity, sleep disturbances, and time to fall asleep. The fit of the different adjustment indices is satisfactory (X2 = 0.47, df = 1, pl = 0.48, IFI = 0.99, CFI = 0.97; NFI = 0.91; RMSEA = 0.01). The relational analysis shows a positive relationship of physical activity to bodily pain (r = 0.02; p < 0.01), mental hyperactivity (r = 0.054; p < 0.01), sleep disturbances (r = 0.029; p < 0.01), and time to fall asleep (r = 0.047; p < 0.01). Multi-group structural equation analysis indicates that there are differences in the causal relationships of physical activity to sleep quality, mental hyperactivity, and bodily pain as a function of exercise intensity. The conclusion is that the intensity at which physical activity is performed plays a key role in mental and physical health.