Background Based on previous research, the aim of this cross‐sectional study was to examine the indirect effect of physical activity on psychological distress through appearance evaluation. The indirect effect was hypothesized to be conditional on gender, with the effect being more profound among females than among males. Method A total of 2055 adolescents (Mage = 15.3) completed a self‐report questionnaire. Results Physical activity was indirectly related to psychological distress through appearance evaluation in both males and females, but the indirect effect was stronger for females than for males. Conclusions Physical activity may prevent distress through enhanced appearance evaluation.