Lower levels of physical activity (PA) have been associated with increased risk of cardiovascular disease. Worldwide, there is a shift towards a lifestyle with less PA, posing a serious threat to public health. One of the suggested mechanisms behind the association between PA and disease development is through systemic inflammation, in which circulating blood cells play a pivotal role. In this study we investigated the relationship between genetically determined PA and circulating blood cells. We used 68 single nucleotide polymorphisms associated with objectively measured PA levels to perform a Mendelian randomization analysis on circulating blood cells in 222,645 participants of the UK Biobank. For inverse variance fixed effects Mendelian randomization analyses, p < 1.85 × 10−3 (Bonferroni-adjusted p-value of 0.05/27 tests) was considered statistically significant. Genetically determined increased PA was associated with decreased lymphocytes (β = –0.03, SE = 0.008, p = 1.35 × 10−3) and decreased eosinophils (β = –0.008, SE = 0.002, p = 1.36 × 10−3). Although further mechanistic studies are warranted, these findings suggest increased physical activity is associated with an improved inflammatory state with fewer lymphocytes and eosinophils.