Background Rural-origin university students in China face distinct psychosocial challenges, with social anxiety being particularly prevalent. Although physical activity is consistently associated with reduced social anxiety, its underlying mechanisms in this population remain unclear, especially regarding the potential statistical mediating roles of body image satisfaction and social capital. Methods A cross-sectional survey of 965 rural-origin undergraduates was conducted in Yunnan Province, China. Validated instruments assessed physical activity, body image satisfaction, social capital, and social anxiety. Correlation, regression, and associative mediation analyses tested direct and indirect associations. Results Physical activity showed a direct negative association with social anxiety (55.5% of total effect). Three indirect pathways emerged: via body image satisfaction (16.5%), via social capital (18.0%), and a sequential pathway (physical activity → body image satisfaction → social capital → social anxiety; 10.5%). The overall association was modest (unstandardized coefficient = −0.016 for item-average scores), suggesting limited standalone clinical utility. Conclusion Physical activity is associated with lower social anxiety among rural-origin university students through both direct and indirect pathways. Body image satisfaction and social capital serve as critical statistical mediators–independently and sequentially. These findings support integrated, context-sensitive interventions addressing psychosocial determinants beyond physical activity alone.