A substantial body of evidence indicates that neurological, psychological, and behavioral health issues are profoundly linked to interoceptive sensitivity. The present study aimed to identify the effects of interoceptive sensitivity on the relationship between physical activity and symptoms of depression in Chinese college students. This study employed a cross-sectional design using convenience sampling. An online self-reported survey was distributed to college students in China. The participants’ interoceptive sensitivity, physical activity levels, and depressive symptoms were measured using the MAIA-2, IPAQ-SF, and PHQ-9, respectively. The mediating effect was tested via regression analysis and a parallel mediation model, with bootstrap confidence intervals for indirect effects. The results showed a significant negative correlation between physical activity and depression. A significant positive correlation was observed between physical activity and seven dimensions of interoceptive sensitivity. Conversely, interoceptive sensitivity exhibited a negative correlation with depression. The bootstrap mediation analysis showed that the “not distracting” and “trusting” dimensions of interoceptive sensitivity had significant indirect effects on the relationship between physical activity and depression, suggesting that physical activity might reduce depressive symptoms via these two interoceptive sensitivity dimensions. The findings suggest that interoceptive sensitivity should be integrated into therapeutic interventions, such as physical activity interventions, in the treatment of mental illnesses, particularly depression. Increasing physical activity levels, with a specific focus on enhancing interoceptive modulation, appears to be a promising approach for addressing depression in college students.