Background: The association between health‐enhancing physical activity (HEPA) and well‐being was investigated across a cross‐sectional (Study 1; N = 243) and a longitudinal, two‐wave (Study 2; N = 198) design. Study 2 further examined the role played by fulfilling basic psychological needs in terms of understanding the mechanisms via which HEPA is associated with well‐being. Methods: Women enrolled in undergraduate courses were surveyed. Results: In general, greater HEPA was associated with greater well‐being (Study 1; rs ranged from .03 to .25). Change score analyses revealed that increased HEPA positively predicted well‐being (Study 2; R2adj = 0.03 to 0.15) with psychological need fulfilment underpinning this relationship. Conclusions: Collectively these findings indicate that increased engagement in health‐enhancing physical activity represents one factor associated with greater well‐being. Continued investigation of basic psychological need fulfilment as one mechanism underpinning the HEPA–well‐being relationship appears justified.