Physical activity is unequally practiced across populations: relative to more privileged individuals, deprived people are less likely to be physically active. However, pathways underlying the association between deprivation and physical activity remain overlooked. Here, we examined whether the association between several indicators of deprivation (administrative area deprivation and self-reported individual material and social deprivation) and physical activity was mediated by body mass index (BMI). In addition, consistent with an intersectional perspective, we tested whether this mediating pathway was moderated by participants’ gender and we hypothesized that the mediating effect of BMI would be stronger among women, relative to men. We used two independent large-scale studies to test the proposed pathways cross-sectionally and prospectively. In a first sample composed of 5,723 British adults (Study 1), BMI partly mediated the cross-sectional association between administrative area deprivation and self-reported physical activity. Moreover, relative to men, the detrimental effect of deprivation on BMI was exacerbated among women, with BMI mediating 3.1% of the association between deprivation and physical activity among women (vs 1.5% among men). In a second sample composed of 8,358 European older adults (Study 2), our results confirmed the findings observed in Study 1: BMI partly mediated the prospective association between perceived material and social deprivation and self-reported physical activity. Moreover, compared to men, the effect of deprivation on BMI was more pronounced among women, with BMI respectively mediating 8.1% and 3.4% of the association between material and social deprivation and physical activity among women (vs 1.3% and 1.2% among men). These findings suggest that BMI partly explained the detrimental association between deprivation and physical activity, with this effect being stronger among women. Our study highlights the need to further consider how gender may shape the mechanisms behind the association between disadvantaged socio-economic circumstances and physical activity.