Compared with the laziest women, those who have the highest level of daily exercise can significantly reduce their risk of contracting breast cancer.
However, the benefit is not seen in women taking hormone replacement therapy (HRT), according to research presented to the European Breast Cancer Conference in Glasgow.
The authors of the report examined 37 studies about breast cancer concerning more than four million women.
They found that the protective effect applies to women of any weight and height who exercise for an hour a day.
Because the effect is independent of body mass index (BMI), the benefits must be due to more than weight control, they said.
The age at which sporting activity starts appears to be "immaterial", the researchers added.
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Professor Mathieu Boniol, research director at the International Prevention Research Institute in Lyon, France, said: "These are all the studies looking at the relationship between physical exercise and breast cancer risk that have been published to date, so we are confident that the results of our analysis are robust.
"Adding breast cancer, including its aggressive types, to the list of diseases that can be prevented by physical activity should encourage the development of cities that foster sport by becoming bike and walk-friendly, the creation of new sports facilities, and the promotion of exercise through education campaigns.
"This is a low cost, simple strategy to reduce the risk of a disease that currently has a very high cost, both to healthcare systems and to patients and their families. It is good news both for individuals and for policy makers."
Dr Hilary Dobson, chairwoman of the conference's national organising committee, added: "These findings are important for all women, irrespective of their age and weight.
"Whilst the mechanism for the potentially protective effect of physical activity remains unclear, the analysis, which is presented here, provides women with a real impetus to increase their physical activity by even modest increments."
Dr Hannah Bridges, health information lead at charity Breakthrough Breast Cancer, said: "This is an exciting finding. Breakthrough Breast Cancer recently looked into all the best studies on physical activity and breast cancer with experts across the world, and we also found that there is good evidence that women can reduce their risk of breast cancer by being regularly active.
"Even better, moderate physical activity counts, which can be things like gardening, housework or a brisk walk - so there are many ways to fit the needed physical activity into your day-to-day life."