Background: Sweden has shown a decreasing tendency in the incidence of myocardial infarction (MI), except among middle-aged women. The incidence among middle-aged immigrant women is less explored. Aim: To determine if foreign-born women have a higher risk of MI as compared to women born in Sweden. Furthermore, to examine if physical activity (PA) modifies the risk of MI regardless of immigration status and smoking habits. Methods: The Malmö Diet and Cancer Study was used for analyses. A total of 16,776 women aged 45–73 years participated. The mean follow-up time was 13.8±4 years. Results: Mean age was 57.4±7.9 years. No difference was found in incidence of MI between Swedish and immigrant women (p=0.72). For current smokers among Swedish women, the relative risk (RR) with no/low PA was 2.93 (95% CI 2.07–4.14) and with moderate/high PA, the RR was 2.21 (95% CI 1.61–3.03) with no/low PA-never smoker as the reference group. Among immigrant smoking women, the RR with no/low PA was 4.56 (95% CI 1.62–12.8) and with moderate/high PA, the RR was 3.27 (95% CI 1.21–8.84) with no/low PA-never smoker as the reference group. Conclusions: PA reduces the risk of MI in non-smokers as well as in smokers, regardless of immigration status. Furthermore, PA was even more beneficial for women born outside Sweden. Against this background, immigrant women ought to get special consideration and attention from both caregivers and public health workers.