During emerging adulthood (EA), higher education medical students undergo a higher risk of anxiety and depression compared to the general population. The aim of this comparative cross-sectional study was to compare the proportions of three mental disorders, namely anxiety, depression and somatisation in terms of their symptoms and self-reported physical activity (PA) levels across the cohorts of biomedical and non-biomedical female students as well as to assess the association between the mental health outcomes and PA use. Between September 2021 and January 2022, a total of 1231 female higher education students aged between 18 and 29 years old were recruited for the study. Severe symptoms of anxiety and depression, as well as unexplained somatic complaints, were suffered by 51.9%, 11% and 23% of female students, respectively. Non-biomedical female students, compared to medicine and health sciences students, were more vulnerable due to the increased prevalence of negative mental health outcomes. The relationship between increased sports activity as a potential trigger for mental well-being and decreased severity of depressive symptoms was identified in the cohorts of both biomedical (adjusted odd ratio (ORadj) 0.4; 95% confidence interval (CI): 0.1–1.0) and non-biomedical (ORadj 0.4; 95% CI: 0.2–0.9) female students. The current research highlights the importance of increasing sports activity by involving students in regular physical exercise of specific types for decreasing the severity of depressive symptoms in student-aged female populations.