Purpose Sleep presents a bi-directional relationship with numerous health factors and is frequently altered in university students due to stress, higher workload or screen use. The regular practice of physical activity (PA) could be an alternative treatment to improve sleep quality. The aim of the study was to determine if the potential benefic effect of physical activity on sleep is sex dependent. Methods Between 2017 and 2019, 1696 students (20.3 ± 4.6 years old) from University of Littoral Côte d’Opale and of a couple of paramedical training sites participated in this study. They completed self-report questionnaires including Pittsburgh Sleep Quality Index (PSQI) and Global Physical Activity Questionnaire. Two groups were defined according to PA level (high vs. low subjective PA level). Two-way ANCOVA was performed to test between-group differences and to identify potential interaction between sex and physical activity level in PSQI score. Results Women have a significantly higher PSQI score than men (6.43 ± 3.16 v 5.10 ± 2.92; p < 0.001). They are also more likely than men to be below recommended PA levels (26.3%v 6.66%; p < 0.001). People who have high PA level have lower PSQI score than people with low PA level (p = 0.007). Moreover, there are no gender differences in relation to the association between sleep quality and physical activity level. Conclusion Students who were more active reported sleeping better than less active students, this relationship was found for women and men. Thus, to promote regular practice of physical activity is necessary to improve sleep quality.