This article analyses how physical activity reinforces each of the dimensions (mental, physical, social, etc.) of the health-related quality of life concept. To that end, we determined whether this relationship is moderated by educational level and area of residence. The empirical part was based on data obtained from a cross-sectional survey carried out in the Casablanca neighbourhood (Zaragoza, Spain). The sample comprised 1083 participants aged between 25 and 84 years residing in the three residential areas of this neighbourhood: Viñedo Viejo, Las Nieves and Fuentes Claras. These three areas exhibit significant socio-economic differences in their population. The self-reported questionnaire included the following key information for this study: socio-economic characteristics (sex, age, educational level and area of residence) and health-related quality of life (WHOQOL-Brief: mental health, physical health, social relations and environment). The main results obtained from the descriptive statistics and regression systems were added. Playing a sport or undertaking some physical activity brings many health benefits, both physical and mental. The educational level and area of residence affect this relationship, such that the effects of physical activity are greater for those residents of Casablanca who have a higher educational level and/or live in more favoured areas of this neighbourhood. The results have also been discussed by sex and age group. Investing in innovative programmes in educational institutions and communities to acquire healthy habits and behaviour patterns that take into account socioeconomic differences in the population would be an advisable public health strategy.