Background: This study assessed the independent associations between participation in self-reported sport and exercise activities and incident cardiovascular disease (CVD). Methods: Data were from 13,204 participants in the Atherosclerosis Risk in Communities Study cohort (1987–2015). Baseline sport and exercise activities were assessed via the modified Baecke questionnaire. Incident CVD included coronary heart disease, heart failure, or stroke. Multivariable-adjusted Cox proportional hazard models assessed the association of participation in specific sport and exercise activities at enrollment with risk of CVD. Results: During a median follow-up time of 25.2 years, 30% of the analytic sample (n = 3966) was diagnosed with incident CVD. In fully adjusted models, participation in racquet sports (hazard ratio [HR] 0.75; 95% confidence interval [CI], 0.61–0.93), aerobics (HR 0.75; 95% CI, 0.63–0.88), running (HR 0.68; 95% CI, 0.54–0.85), and walking (HR 0.89; 95% CI, 0.83–0.95) was significantly associated with a lower risk of CVD. There were no significant associations for bicycling, softball/baseball, gymnastics, swimming, basketball, calisthenics exercises, golfing with cart, golfing with walking, bowling, or weight training. Conclusions: Participation in specific sport and exercises may substantially reduce the risk for CVD.