Physical activity is needed in today’s highly sedentary society. Research into Chinese trends with respect to the longitudinal association between changes in physical activity (PA) and dyslipidemia (DL) is limited. The present study assessed PA and PA-related changes associated with the level of serum lipids, and the risk of dyslipidemia stratified by gender, via a population-based longitudinal observational study among adults (>18 years old) residing in nine provinces in China. Data of 3380 adult participants, gleaned from two surveys in 2009 and 2015 used by the China Health and Nutrition Survey (CHNS), were analyzed. Three-level random intercept growth models were used to calculate the associations between total physical activity (TPA), the four activity subtypes, and changes in the level of blood lipids. Three-level logistic regression models were utilized to assess the association between TPA and the risk of DL. The highest level of TPA was observed to correlate with the lowest prevalence of DL. Compared with the lowest level of TPA, the highest level of TPA increases the concentration of HDL-C (β = 0.050, 95% CI = 0.005, 0.096) in males, and also reduces the risk in males of having low HDL-C by 31% (OR = 0.69, 95% CI = 0.52, 0.91). Occupational PA was positively associated with higher HDL-C levels in both genders (males: β = 0.004, 95% CI = 0.002, 0.007; females: β = 0.002, 95% CI = 0.000, 0.004), and leisure-time physical activity (LTPA) was negatively associated with TG levels in males. Increasing TPA benefited HDL-C levels in males, irrespective of the level of basic TPA of individuals. Physical activity (especially occupational PA) was superior in positively influencing HDL-C in males, but not in females. Leisure-time physical activity needs to be increased substantially in order to increase TPA to levels that would be beneficial to blood lipid levels and DL, irrespective of baseline TPA levels.