Physical activity induces plastic changes in the brain to enhance resilience to stress and anxiety, but unknown is whether quality of the activity matters. The present study examined whether cognitively-demanding physical activity differentially promotes resilience to anxiety, compared with regular or no physical activity. Subjects were randomly assigned to an experimental condition over four weeks: A- physical activity, B- cognitively-demanding physical activity, and C- sedentary. Three behaviour tests were administered to elicit anxiety-like responses. Group A displayed less feeding suppression in a novel environment, an effect moderated by sex. Group B displayed fewer anxiety-like behaviours compared to sedentary controls in an elevated plus maze. Females displayed fewer anxiety-like behaviours than males in light-dark boxes whether or not they were physically active. These findings demonstrate physical activity enhances resilience to the behavioural consequences of anxiety, particularly when activity is enriched with cognitive elements. Sex differences exist, with resilience dependent on environment.