Introduction: Body image distortion is a core symptom of anorexia nervosa (AN), embodying dissatisfaction and overvaluation of body appearance and weight. Body image distortion is an important factor in the maintenance of weight loss behaviours such as compulsive physical exercise. Conversely, physical exercise seems to have an aggravating effect on body image in patients with AN, but the evidence is still poor. The aim of this study was to examine the relationship between body image distortion and physical exercise in AN in order to understand whether physical exercise may play a specific role in body image distortion beyond psychopathological severity. Methods: Forty patients with AN and 21 healthy controls were tested for body image distortion and different proxies of physical exercise. Univariate correlations tested the relationship between body image distortion and physical exercise in AN and control groups. Then, to experimentally assess the effect of exercise on body image distortion, participants were invited to rate their body image before and after a standardised effort test. Results: In the AN group, a correlation was found between physical activity and body image distortion (p < 0.01), which was still significant after controlling for psychopathological severity. No correlation was found in healthy controls. After a standardised effort, patients with AN had higher increases in body image distortion than healthy controls (almost 4 kg/m2 vs. 0.8 kg/m2) (p < 0.01). Discussion: Physical exercise may contribute to the distortion of body image in anorexia nervosa and explain the paradoxical augmentation of unhealthy exercise despite ongoing weight loss.