Background Physical activity may be beneficial for cognition but mechanisms are unclear. We examined the association between objectively assessed physical activity and brain volume, with a focus on the hippocampus region. Methods We used data from UK Biobank (n = 5272; aged 55.4 ± 7.5 years; 45.6% men) collected through 2013–2016. Participants wore the Axivity AX3 wrist‐worn triaxial accelerometer for 7 days to assess habitual physical activity. Structural magnetic resonance imaging was performed using a standard Siemens Skyra 3T running VD13A SP4 to obtain images of the brain. Results There was an association between physical activity (per SD increase) and grey matter volume after adjustment for a range of covariates, although this association was only detected in older adults (>60 years old). We also observed associations of physical activity with both left (B = 0.52, 95% CI, 0.01, 1.03; P = 0.046) and right hippocampal volume (B = 0.59, 95% CI, 0.08, 1.10; P = 0.024) in covariate‐adjusted models. Conclusion In summary, physical activity may play a role in the prevention of neurodegenerative diseases.