Objective: Physical activity and adequate sleep are essential for health and wellbeing. University students face distinct challenges affecting their habits. This study investigates sociodemographic impacts on physical activity and sleep patterns, and examines the association between physical activity and sleep quality in Hungarian university students. Methods: An online cross-sectional survey was conducted among students (N = 1,340, mean age 20.00 ± 1.59 years; 60.7% female and 39.3% male) from the Budapest University of Economics and Business. The survey was based on sociodemographic data, the Hunarian version of the International Physical Activity Questionnaire-Short Form (IPAQ-SF), and the Pittsburgh Sleep Quality Index (PSQI) questionnaires. In IPAQ-SF, respondents indicated physical activities lasting at least 10 min during the last seven days. Responses were categorised by WHO and IPAQ guidelines. Metabolic Equivalent of Task (MET) was calculated. Statistical analyses were conducted using IBM SPSS Statistics 29.0.0.0, with significance set at p < 0.05. Results: Most participants (85.8%–86.9%) performed below the WHO recommendations for moderate-intensity physical activity. Significant sex differences were noted in physical activity levels (p < 0.001 for vigorous intensity; p < 0.043 for moderate intensity), with men being more active than women. Regarding sleep quality, 57.1% of participants reported good sleep quality (PSQI 0–5), 36.1% had moderate sleep disturbances (PSQI 6–10), and 6.8% experienced poor to severe sleep disturbances (PSQI 11–21). Women reported significantly poorer sleep quality than men did (p < 0.001). Multiple linear regression analysis revealed a significant interaction between energy expenditure on physical activity and sports participation frequency (β = −0.09, p = 0.012), indicating that regular sports participation may buffer against potential negative effects of high overall physical activity on sleep quality. The model explained 3.1% of the variance in sleep quality (R² = 0.031, p < 0.001). Conclusion: The relationship between physical activity (MET-minutes/week) and sleep quality was moderated by the frequency of sports participation. Given that poor sleep can negatively impact academic performance, health, and well-being, these findings support the promotion of organized sports within university settings. Interventions targeting both physical activity and sleep hygiene may yield synergistic benefits, particularly for students with sedentary lifestyles.