Background: Alcohol use and physical activity are common, interrelated behaviors with opposing associations to mental health, yet little is known about their joint relationship with anxiety and depression. This study evaluated whether the association between alcohol use and anxiety and/or depression symptoms differed by physical activity level in a large U.S. longitudinal cohort. Methods: Using data from 5,152 adults in the CHASING COVID Cohort (2021-2023), alcohol use was categorized as low-, moderate-, or high-risk based on repeated AUDIT-C assessments, and physical activity was classified as active versus sedentary using items adapted from the 2023 Behavioral Risk Factor Surveillance System. Moderate to severe symptoms of anxiety/depression, assessed subsequent to the exposure assessment period, was defined as a PHQ-8 or GAD-7 score [≥]10. Log-binomial regression estimated adjusted risk ratios (aRRs) for associations between alcohol use and anxiety/depression symptoms within strata of physical activity. Effect modification by physical activity was evaluated on the additive and multiplicative scales. Analyses were repeated among healthier participants without chronic conditions or poor self-rated health to reduce sick-quitter bias (N=3,141). Results: Most participants had low-risk or no alcohol use (70.3%), followed by moderate-risk (21.9%) and high-risk use (7.8%); 29.5% were sedentary. Sedentary participants had higher risk of moderate to severe anxiety/depression symptoms than active participants across alcohol use levels overall and in the healthier subsample. In the overall sample, active participants with high-risk alcohol use had elevated risk compared with active participants with low-risk or no alcohol use (aRR = 1.44, 95% CI: 1.15-1.80) and physical activity did not modify the association between alcohol use and anxiety/depression symptoms on either scale. Among healthier participants, risk was highest among sedentary participants with moderate-risk alcohol use compared with active participants with low-risk or no alcohol use (aRR = 1.92, 95% CI: 1.50-2.45); physical activity modified the association between moderate-risk alcohol use and moderate to severe anxiety/depression symptoms on the additive scale (RERI = 0.61, p=0.013) and multiplicative scales (ratio of aRRs = 1.49, p=0.001). Conclusions: Among healthier adults, physical activity modified the association between moderate alcohol use and symptoms of anxiety or depression on additive and multiplicative scales. Findings suggest sedentary behavior may amplify mental health vulnerability associated with moderate drinking; future studies are warranted to clarify these relationships, including those with larger numbers of high-risk drinkers.