Physical activity reduces chronic disease risk and enhances immune function, but its causal relationship with thymic tumors—rare neoplasms of the anterior mediastinum—remains unclear. This study investigated whether physical activity reduces thymic tumor risk and whether circulating cytokines mediate this effect. We performed a two-sample Mendelian randomization (MR) analysis using genetic variants as instrumental variables for physical activity and cytokines. Data were obtained from large genome-wide association studies of Europeans, and included the following: physical activity (91,084 individuals), thymic tumors (473,681 individuals with 58 benign and 93 malignant cases), and cytokines (14,824 individuals). The inverse-variance weighted method served as the primary analysis. Genetically predicted physical activity was associated with reduced risks of benign (odds ratio [OR] = 0.381; 95% confidence interval [CI]: 0.158 to 0.921; p = 0.032) and malignant thymic tumors (OR = 0.312; 95% CI: 0.155 to 0.628; p = 0.001). Mediation analysis identified interleukin-10 receptor subunit β (IL10RB) as a partial mediator, accounting for 5.95% of the protective effect on benign tumors. Sensitivity analyses indicated no pleiotropy or heterogeneity. In conclusion, physical activity causally reduces the risk of thymic tumors, partially mediated by IL10RB, highlighting its potential role in cancer prevention through immunomodulation.