Background Physical activity is inversely associated with the risk of future coronary artery disease. Whether this relationship is in part mediated by lower levels of systemic inflammation, as indicated by C-reactive protein concentrations, is unknown. Methods We performed a nested case–control study among apparently healthy men and women enrolled in the European Prospective Investigation into Cancer and Nutrition–Norfolk prospective population study, to investigate the relationship among habitual (work-related and leisure time) physical activity, cardiovascular risk factors and the risk of future coronary artery disease. Results Among men, those with an active lifestyle had a significantly lower risk of future coronary artery disease than those with an inactive lifestyle [odds ratio (OR) 0.65; 95% confidence interval (CI) 0.47–0.90; P for linearity, 0.008], after adjustment for smoking, systolic blood pressure, diabetes, body mass index and low-density lipoprotein and high-density lipoprotein cholesterol. Additional adjustment for C-reactive protein levels attenuated this relationship only slightly (OR 0.68; 95%CI 0.49–0.93; P for linearity, 0.02). Similarly, active women had an adjusted odds ratio of 0.48 (0.28–0.82; P for linearity <0.001) for future coronary artery disease compared with inactive women. Additional adjustment for C-reactive protein levels attenuated this relationship slightly (OR 0.51; 0.30–0.87; P for linearity, 0.003). Conclusions We observed that people with an active lifestyle had a substantially lower risk of future coronary artery disease than people with an inactive lifestyle, and that this relationship was partly mediated through lower levels of established cardiovascular risk factors and in addition, C-reactive protein. This observation suggests that reduced systemic inflammation may be one of the mechanisms through which physical activity leads to reduced cardiovascular risk.