Background: Mental ill-health, particularly depression and anxiety, is a leading and increasing cause of disability worldwide, especially for women. Methods: We examined the prospective association between physical activity and symptoms of mental ill-health in younger, mid-life and older working women. Participants were 26 913 women from the ongoing cohort Finnish Public Sector Study with complete data at two phases, excluding those who screened positive for mental ill-health at baseline. Mental health was assessed using the 12-item General Health Questionnaire. Self-reported physical activity was expressed in metabolic equivalent task (MET) hours per week. Logistic regression models were used to analyse associations between physical activity levels and subsequent mental health. Results: There was an inverse dose-response relationship between physical activity and future symptoms of mental ill-health. This association is consistent with a protective effect of physical activity and remained after adjustments for socio-demographic, work-related and lifestyle factors, health and body mass index. Furthermore, those mid-life and older women who reported increased physical activity by more than 2 MET hours per week demonstrated a reduced risk of later mental ill-health in comparison with those who did not increase physical activity. This protective effect of increased physical activity did not hold for younger women. Conclusions: This study adds to the evidence for the protective effect of physical activity for later mental health in women. It also suggests that increasing physical activity levels may be beneficial in terms of mental health among mid-life and older women. The alleviation of menopausal symptoms may partly explain age effects but further research is required.