Given the social nature of participation in sport, we hypothesized that club sports participants would have greater well-being and quality of life than participants in other forms of physical activity (PA). Purpose: The purpose of this study was to examine health-related quality of life and life satisfaction in women who participate in three contrasting forms of PA: club sport, gym activities, and walking. Methods: This was a cross-sectional study of the relationship between type of PA setting and measures of health-related quality of life (Short-Form Health Survey [SF-36]) and life satisfaction in 818 women living in rural Victoria, Australia, in 2007. Data were also compared with those from a normative sample of 2345 women. Results: After adjustment for potential confounders (age, education, marital status, children aged <16 yr, perceived financial stress, and level of recreational PA), four of the eight SF-36 subscales, the SF-36 mental health component summary score, and life satisfaction were significantly higher in the club sport group than that in the other groups. CONCLUSION: Although cross-sectional research cannot establish causal links, the results suggest that participation in club sport may enhance the health benefits of PA.