Currently, the global physical activity guidelines are based on reducing the risk for mental disorders. More physical activity can decrease the risk for depression by up to 45%. Nevertheless, students of medicine and health sciences are more likely to develop a depression or an anxiety disorder and there is inconsistent evidence regarding the association between self-reported physical activity levels and depressive symptoms in adults. The objective of this study was to evaluate the correlates of anxiety, depression and habitual physical activity in medicine and health sciences students. A questionnaire survey method was employed to carry out this research in March 2020. In all, students (n = 174) of medicine and health sciences of Vilnius University were investigated. Based on present study data, 51.7% of the subjects did not get enough regular physical activity in Lithuania. Almost every third student was diagnosed with case-level anxiety and 4.6% of persons were found with case-level depression. The association between the habitual physical activity and anxiety disorder and/or depression prevalence in medicine and health students could not be explained by the total physical activity score (Adjusted odds ratio (AOR) 0.9; p = 0.914 and AOR 0.7; p = 0.695) or the separate scores of the components such as work index (AOR 2.8; p = 0.201 and AOR 5.4; p = 0.127), sport index (AOR 0.8; p = 0.711 and AOR 1; p = 0.963), leisure-time index of physical activity (AOR 0.7; p = 0.37 and AOR 0.6; p = 0.541).