Background <p>Anxiety disorder is a significant concern in the context of mental health among Chinese high school students. Based on cross-sectional study and longitudinal study, this study constructed mediation models in order to evaluate the mediation effects of sleep quality in the improvement of anxiety by physical activity among Chinese high school students.</p> Methods <p>A total of 32,974 Chinese high school students were surveyed using the International Physical Activity Questionnaire (IPAQ), the Pittsburgh Sleep Quality Index (PSQI), and the Generalized Anxiety Disorder 7-item Scale (GAD-7). We conducted the survey to construct a mediation model of anxiety, and then verified it with longitudinal data. After 12 weeks of exercise, 80 high school students were tested for physical activity level, sleep quality score and anxiety level.</p> Results <p>The mediation model based on cross-sectional study showed a good fit with the data. Physical activity significantly positively predicted sleep quality but negatively predicted anxiety. Sleep quality significantly negatively predicted anxiety and had a mediation effect between physical activity and anxiety. Further longitudinal study proved that physical activity could improve both sleep quality and anxiety among high school students.</p> Conclusions <p>Evidence from cross-sectional study and longitudinal study indicated the mediation role of sleep quality in the relationship between physical activity and anxiety among high school students, providing a theoretical and practical basis for physical exercise to improve high school students’ anxiety and other psychological problems. Besides, physical activity could relieve anxiety through sleep quality, but causality cannot be inferred when using only a cross-sectional study design.</p>