OBJECTIVE The effects of physical activity on risk of myocardial infarction (MI) are well documented and may include beneficial changes in blood lipids, inflammatory markers, and insulin sensitivity. The degree to which these and other traditional and nontraditional cardiovascular biomarkers mediate the inverse association between physical activity and risk of MI in men remains unclear. METHODS We conducted a nested case-control study among 18,225 men in the Health Professionals Follow-up Study followed from 1994 to 2004. A total of 412 men with incident MI were matched 1:2 with control participants on age and smoking status using risk-set sampling. From detailed responses to a modified Paffenbarger physical activity questionnaire, we determined the association between average hours of vigorous-intensity activity (activities requiring METs ≥ 6) and MI risk. RESULTS For a 3-h·wk(-1) increase in vigorous-intensity activity, the multivariate relative risk (RR) of MI was 0.78 (95% confidence interval (CI) = 0.61-0.98). In models including preexisting CVD-related conditions, further adjustment for HDL-C, vitamin D, apolipoprotein B, and hemoglobin A1c attenuated the RR by 70% (95% CI = 12%-127%) to an RR of 0.93 (95% CI = 0.72-1.19). CONCLUSIONS Participating in 3 h·wk(-1) of vigorous-intensity activity is associated with a 22% lower risk of MI among men. This inverse association can be partially explained by the beneficial effects of physical activity on HDL-C, vitamin D, apolipoprotein B, and hemoglobin A1c. Although the inverse association attributable to these biomarkers is substantial, future research should explore benefits of exercise beyond these biomarkers of risk.