Background: There is growing evidence that regular physical activity (PA) reduces the risk of poor mental health. Less research has focused on the relationship between PA and positive wellbeing. The study aims were to assess the prospective associations between PA and optimism, in both young and mid-aged women. Methods: 9688 young women (born 1973–1978) completed self-report surveys in 2000 (age 22 to 27), 2003, 2006, and 2009; and 11,226 mid-aged women (born 1946–1951) completed surveys in 2001 (age 50–55) 2004, 2007, and 2010, as part of the Australian Longitudinal Study on Women’s Health. Generalized estimating equation models (with 3-year time lag) were used to examine the relationship between PA and optimism in both cohorts. Results: In both cohorts, women reporting higher levels of PA had greater odds of reporting higher optimism over the 9-year period, (young, OR = 5.04, 95% CI: 3.85–6.59; mid-age, OR = 5.77, 95% CI: 4.76–7.00) than women who reported no PA. Odds were attenuated in adjusted models, with depression accounting for a large amount of this attenuation (young, OR = 2.00, 95% CI: 1.57–2.55; mid-age, OR = 1.64 95% CI: 1.38–1.94). Conclusions: Physical activity can promote optimism in young and mid-aged women over time, even after accounting for the negative effects of other psychosocial indicators such as depression.