Background: The anxiety and depression are a public health problem in the elderly. Currently some studies have been shown a positive association between physical activity and good mental health. Objective: To compare the possible relationship between levels of anxiety and depression among active and sedentary elderly. Methods: The sample comprised a total of 72 patients divided into one group of 38 elderly subjects (GS) and another group of 34 physically assets (GA). These answered a questionnaire with socio-demographic characteristics and the Hospital Anxiety and Depression Scale. Results: The variables that influenced the presence of anxiety and depression were the level of physical activity (p < 0.001) and the level of instruction (p < 0.01). The GS showed 38 more probability to develop symptoms of anxiety and depression and subjects without qualifications had 11 more probability to develop these symptoms. For the GS 35 (92.1%) patients had levels of anxiety or depression and 3 (7.9%) did not. In GA, the presence of anxiety or depression were observed only in 8 (23.5%) and the remaining 26 (76.5%) revalidates not any kind of these symptoms (p < 0.05). Discussion: Practicing physical activity may represent a very important factor to reduce levels of anxiety and depression in elderly.