Menopause is a period of high incidence of chronic diseases. Women experience various physical and psychological discomforts during menopause, and hormonal changes exacerbate mood swings in menopausal women and also cause them to begin to experience excessive worry and anxiety about their health problems. This study was a cross-sectional survey investigating the relationship between physical activity and women’s health anxiety. Using cluster sampling, a valid sample of 455 females aged 45–50 was collected from 78 communities in five municipal districts in Changsha, China, and AMOS v.23 was adopted to construct a structural equation model to verify the hypotheses. The results indicate that interpersonal competence and emotional intelligence are negatively associated with health anxiety. Furthermore, interpersonal competence and emotional intelligence mediate the relationship between physical exercise and health anxiety, which means that menopausal women with more physical exercise, higher interpersonal competence, and higher emotional intelligence reported lower health anxiety. Finally, to alleviate menopausal women’s health anxiety and reduce their risk of chronic diseases, the government, community, and family should create conditions and opportunities for women to participate in group physical activities.