Although physical activity (PA) is an important determinant of exercise capacity, the association between these constructs is modest. The authors investigated the associations of self-reported and objectively measured PA with maximal and submaximal tests of exercise capacity. Participants aged ≥40 years (N = 413; 49.6% female) completed a PA questionnaire, wore a uniaxial accelerometer (5.2 ± 1.1 days), and performed maximal (cardiopulmonary exercise test [CPET]) and submaximal (long-distance corridor walk) tests with indirect calorimetry (oxygen consumption, V˙O2). Linear regression models were fitted to assess the variation in exercise capacity explained (partial eta squared, η2) by PA variables. Accelerometer-measured vigorous (η2 = 22% female; η2 = 16% male) and total PA (η2 = 17% female; η2 = 13% male) explained the most variance in CPET V˙O2 (p < .001). All η2 values were lower for long-distance corridor walk V˙O2 (η2 ≤ 11%). Age contributed more to CPET V˙O2 than any PA variable in males (η2 = 32%), but not in females (η2 = 19%). Vigorous and total PA play important roles in CPET V˙O2 in mid to late life.