Previous studies have raised the question of whether an association exists between physical activity and atrial fibrillation (AF). We used the Multi-Ethnic Study of Atherosclerosis (MESA) database to examine the association between physical activity and AF in a diverse population without clinically recognized cardiovascular disease (CVD). MESA participants (n = 5,793) with complete baseline physical activity and covariate data were included. Cox proportional hazards models were used to calculate hazard ratios (HRs) for incident AF by levels of total intentional exercise and vigorous physical activity, independently and in combination. Multivariate models were adjusted for demographics and CVD risk factors. During a mean follow-up of 7.7 ± 1.9 years, 199 AF cases occurred. In the overall MESA population, neither vigorous physical activity nor total intentional exercise was independently associated with incident AF after adjusting for covariates. However, within the group that reported any vigorous physical activity, there was a statistically significant inverse association between total intentional exercise (modeled as a continuous variable) and incident AF. In those who reported any vigorous physical activity, the top tertile of total intentional exercise was associated with a significantly lower risk of incident AF compared with the group with no total intentional exercise in the fully adjusted model (HR 0.46, 95% confidence interval 0.22 to 0.98). In conclusion, neither total intentional exercise nor vigorous physical activity alone was associated with incident AF, but greater total intentional exercise was associated with a lower risk of incident AF in those who participated in any vigorous physical activity. As importantly, no subgroup of participants demonstrated an increased risk of incident AF with greater physical activity. The results re-emphasize the beneficial role of physical activity for cardiovascular health.