A study of 1,000 people found that staying active nearly halved the odds of catching cold viruses and, failing that, made the infection less severe.
Experts told the British Journal of Sports Medicine that this could be because exercise helps bolster the immune system to fight off bugs.
But you may not have to actually do much exercise - those who merely think they are fit enjoy the same lower risk.
Adults can expect to suffer two to five colds per year. This latest research suggests there are lifestyle choices you can make to improve your odds of either avoiding them, or suffering too badly from them.
For their study, US researchers asked the healthy volunteers to keep a record of any coughs and sniffles they experienced over a three-month period during the autumn and winter.
The volunteers were also asked to say how frequently in any given week they would do exercise lasting at least 20 minutes and intensive enough to break a sweat.