The aim of this study was to evaluate the effectiveness of physical activity in the primary prevention of anxiety. A systematic review of randomized controlled trials (RCTs) was performed. RCTs were searched in seven electronic databases. We included RCTs that assessed either the incidence of anxiety or the reduction of anxiety symptoms which excluded participants with baseline anxiety. Measurements were required to have been made using validated instruments. Objective or subjective (with validated questionnaires) verification of the performance of physical activity was required. Three reviewers carried out the search, selection, data extraction, and risk assessment of Cochrane Collaboration's tool simultaneously and independently, reaching an agreement in their discrepancies by consensus. In addition, a meta-analysis of fixed-effects model was carried out. Three RCTs met inclusion criteria, comprising 350 patients from 3 different countries. A meta-analysis was performed using five comparisons extracted from the selected studies, and the pooled standardized mean difference (SMD) was -0.18 (95% CI: -0.44; 0.07), p = 0.158. The heterogeneity was irrelevant, I2 = 17.7% (p = 0.30). There is no evidence that anxiety can be prevented through physical activity, although the quality of evidence was very low.