Abstract Aims This study aimed to evaluate the association between physical activity and the incidence of coronary heart disease (CHD) in individuals with and without CHD risk factors. Methods and results EPIC-CVD is a case-cohort study of 29 333 participants that included 13 582 incident CHD cases and a randomly selected sub-cohort nested within the European Prospective Investigation into Cancer and Nutrition (EPIC) cohort. Self-reported physical activity was summarized using the Cambridge physical activity index (inactive, moderately inactive, moderately active, and active). Participants were categorized into sub-groups based on the presence or the absence of the following risk factors: obesity (body mass index ≥30 kg/m2), hypercholesterolaemia (total cholesterol ≥6.2 mmol/L), history of diabetes, hypertension (self-reported or ≥140/90 mmHg), and current smoking. Prentice-weighted Cox regression was used to assess the association between physical activity and incident CHD events (non-fatal and fatal). Compared to inactive participants without the respective CHD risk factor (referent), excess CHD risk was highest in physically inactive and lowest in moderately active participants with CHD risk factors. Corresponding excess CHD risk estimates amongst those with obesity were 47% [95% confidence interval (CI) 32–64%] and 21% (95%CI 2–44%), with hypercholesterolaemia were 80% (95%CI 55–108%) and 48% (95%CI 22–81%), with hypertension were 80% (95%CI 65–96%) and 49% (95%CI 28–74%), with diabetes were 142% (95%CI 63–260%), and 100% (95%CI 32–204%), and amongst smokers were 152% (95%CI 122–186%) and 109% (95%CI 74–150%). Conclusions In people with CHD risk factors, moderate physical activity, equivalent to 40 mins of walking per day, attenuates but does not completely offset CHD risk.