Despite females consistently reporting greater social physique anxiety (SPA), previous literature has yet to demonstrate whether SPA gender differences are linked to the way males and females perform physical activity. This study investigated an association between SPA and physical activity frequency, history of exercise, and physical activity intensity. Participants were represented by currently active users (N = 33 males; N = 31 females) of an on-campus university-run gym and completed a background physical activity questionnaire and the nine-item Social Physique Anxiety Scale. Participants also performed an exercise session at a self-selected level of exertion, with the intensity of each session measured via heart rate monitor. SPA was not associated with physical activity frequency, history of exercise (length of gym membership), or intensity for male and female exercisers. With respect to male participants, females reported higher SPA and a preference for performing higher intensity physical activity. Females and males also indicated a preference for performing aerobic and anaerobic physical activity respectively. Our findings suggest the experience of SPA does not deter body-conscious individuals from the performance of regular physical activity. Findings also suggest the discrepancy in male and female SPA is not linked to differences in the way physical activity is performed.