Physical activity (PA) at recommended levels contributes to the prevention of non-communicable diseases, such as atherosclerotic cardiovascular disease (asCVD) and type 2 diabetes mellitus (T2DM). Since the composition of the gut microbiota is strongly intertwined with dietary intake, the specific effect of exercise on the gut microbiota is not known. Moreover, multiple other factors, such as ethnicity, influence the composition of the gut microbiota, and this may be derived by distinct diet as well as PA patterns. Here we aim to untangle the associations between PA and the gut microbiota in a sample (n = 1334) from the Healthy Life In an Urban Setting (HELIUS) multi-ethnic cohort. The associations of different food groups and gut microbiota were also analyzed. PA was monitored using subjective (n = 1309) and objective (n = 162) methods, and dietary intake was assessed with ethnic-specific food frequency questionnaire (FFQ). The gut microbiota was profiled using 16S rRNA gene amplicon sequencing, and the functional composition was generated with the Phylogenetic Investigation of Communities by Reconstruction of Unobserved States (PICRUSt2). Associations were assessed using multivariable and machine learning models. In this cohort, a distinct gut microbiota composition was associated with meeting the Dutch PA norm as well as with dietary intake, e.g., grains. PA related parameters such as muscle strength and calf circumference correlated with gut microbiota diversity. Furthermore, gut microbial functionality differed between active and sedentary groups. Differential representation of ethnicities in active and sedentary groups in both monitor methods hampered the detection of ethnic-specific effects. In conclusion, both PA and dietary intake were associated with gut microbiota composition in our multi-ethnic cohort. Future studies should further elucidate the role of ethnicity and diet in this association.