Background: Evidence indicates that physical activity reduces stress and promote a myriad of health-enhancing effects through anti-inflammatory mechanisms. However, it is unknown whether these mechanisms interfere in the association between psychosocial job stress and headache disorders. Objective: To test whether physical activity and its interplay with the systemic inflammation biomarkers high-sensitivity C-reactive protein (hs-CRP) and acute phase glycoproteins (GlycA) would mediate the associations between job stress and headache disorders. Methods: We cross-sectionally evaluated the baseline data from the Brazilian Longitudinal Study of Adult Health (ELSA-Brasil) regarding job stress (higher demand and lower control and support subscales), migraine and tension-type headache (ICHD-2 criteria), self-reported leisure-time physical activity, and plasma hs-CRP and GlycA levels. Conditional process analyses with a sequential mediation approach were employed to compute path coefficients and 95 % confidence intervals (CI) around the indirect effects of physical activity and biomarkers on the job stress-headache relationship. Separate models were adjusted for sex, age, and depression and anxiety. Further adjustments added BMI smoking status, and socioeconomic factors. Results: In total, 7,644 people were included in the study. The 1-year prevalence of migraine and tension-type headache were 13.1 % and 49.4 %, respectively. In models adjusted for sex, age, anxiety, and depression, the association between job stress (lower job control) and migraine was mediated by physical activity [effect = −0.039 (95 %CI: −0.074, −0.010)] but not hs-CRP or GlycA. TTH was associated with higher job control and lower job demand, which was mediated by the inverse associations between physical activity and GlycA [Job Control: effect = 0.0005 (95 %CI: 0.0001, 0.0010); Job Demand: effect = 0.0003 (95 %CI: 0.0001, 0.0007]. Only the mediating effect of physical activity in the job stress-migraine link remained after further adjustments including socioeconomic factors, BMI, smoking, and the exclusion of major chronic diseases. Conclusion: In the ELSA-Brasil study, physical activity reversed the link between job stress and migraine independently of systemic inflammation, while the LTPA-mediated downregulation of GlycA was associated with lower job stress-related TTH.