An important step to enhance the academic efficiency of students is increasing their physical activity. For this reason, it is necessary to see to what extent physical activity is related to the academic performance of the students and what might mediate this. A major objective of the study is to explore self-esteem and depression as mediators between physical activity and academic performance. On the basis of informed consent to participate in the study, 358 participants have been selected from Universities in Pakistan, and they were asked about their physical activity, depression during their study and self-esteem through self-report. Participants self-reported their self-esteem, level of depression and their physical activity through standardized measures; the Rosenberg Self-esteem scale (1965), the University stress scale (2016), and the short form of the International Physical Activity questionnaire (2003), respectively. Academic performance had been measured as the cumulative grade point average (CGPA) of the last two consecutive semesters. Self-esteem and depression were found to be significant mediators between physical activity and academic performance. The total effect of physical activity on academic performance was significant but smaller than the total indirect effect through mediators. Though total indirect effect is the combination of the effect of self-esteem and depression, but the larger contribution is of self-esteem which has been found to be the strongest mediator between physical activity and academic performance. The study has implications for future research, both in terms of testing the model and testing psychological constructs. Also, the study emphasizes that the importance of physical activity has to be kept in mind while designing a curriculum of an educational institution in order to foster sustainable development.