Background High body mass index (BMI) and low physical activity are associated with increased risk of hypertension. Few studies have assessed their joint impact or the relation of physical activity and hypertension among individuals within a healthy BMI range. The objective of this study was to investigate the associations between physical activity and hypertension across strata of BMI. Methods and Results We used data from the E3N (Etude Epidémiologique de femmes de la Mutuelle Générale de l´Education) cohort, a French prospective study of women aged 40 to 65 years. We included participants who completed a diet history questionnaire and who did not have prevalent hypertension at baseline, resulting in a total of 41 607 women. Questionnaires assessed time spent undertaking various types of physical activity. Hypertension cases were self‐reported. Cox models were used to calculate hazard ratios (HRs) for physical activity. Associations were assessed over strata of BMI. Among the 41 607 included women, 10 182 cases of hypertension were identified in an average follow‐up time of 14.5 years. Total physical activity was associated with a lower hypertension risk in women within the high‐normal BMI range (BMI, 22.5–24.9) (HRQuartile 1–Quartile4, 0.89; 95% CI, 0.79–0.99). An inverse relationship was observed between sports (HRsports >2 hours, 0.87; 95% CI, 0.83–0.93), walking (HRwalk >6.5 hours, 0.94; 95% CI, 0.90–1.00), and gardening (HRgardening >2.5 hours, 0.94; 95% CI, 0.89–0.99). Sports were associated with a reduced risk of hypertension in women with a healthy weight, but evidence was weaker in overweight/obese or underweight women. Conclusions Women with a healthy weight were those who could benefit most from practicing sports, and sports provided the largest risk reduction compared with other types of activity.