This paper explores the association between moderate levels of physical activity (PA) and health benefits in well being and symptoms such as tiredness, back pain, and constipation. Participants in the Australian Longitudinal Study on Women’s Health, 14,502 young women (ages 18–23 years), 13,609 middle-age women (45–50 years), and 11,421 older women (ages 70–75 years), answered questions about vigorous and less vigorous exercise (used to determine a physical activity score), well being (SF-36), symptoms, and medical conditions. There were significant associations between the PA score and SF-36 in each cohort. Odds ratios (OR) for a range of symptoms and conditions were lower for women who reported low to moderate activity than for sedentary women, for example, for young women or for constipation = 0.76 (CI, 0.65–0.89), for middle-age women or for tiredness = 0.70 (0.63–0.78). There was no threshold of PA at which health benefits increased significantly. Although cross-sectional, the findings suggest that low-to-moderate levels of exercise are associated with a range of health benefits for women of all ages. These preliminary findings will be followed up during the longitudinal study.