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Physical activity has been associated with lower levels of loneliness. However, limited research has explored whether exercise frequency, intensity, and duration are associated with loneliness. The aim of this study was to investigate the associations between exercise frequency, intensity, and duration, and loneliness among Norwegian college and university students. Data from the National Student Health and Well-being Survey in Norway (SHoT 2022), including 59,544 full-time students aged 18–35 years, were analyzed. The Three-Item Loneliness Scale was used to measure three dimensions of loneliness: lack of companionship, feeling left out, and feeling isolated. Self-reported physical exercise was categorized by frequency, intensity, and duration. Logistic regression was applied to examine the association between physical exercise and loneliness, adjusting for sociodemographic (age, relationship status, and parents’ educational level) and behavioral (sleep duration, smoking, snus [smokeless tobacco], and alcohol consumption) factors. Physical exercise was inversely associated with loneliness across all dimensions. The strongest associations were observed between exercise frequency and feeling isolated. In sex-stratified analyses, associations were generally stronger in males than in females for higher exercise frequency and longer duration. Specifically, in adjusted models, females exercising 4 to 5 times per week had lower odds of feeling isolated than non-exercisers (OR 0.43), whereas males exercising almost daily also had lower odds of feeling isolated (OR 0.47). Moderate-intensity exercise was associated with lower loneliness levels for both sexes (ORs 0.65–0.76), compared with low-intensity exercise. Regular physical exercise was associated with lower levels of loneliness among college and university students. Higher exercise frequency and longer duration showed stronger associations among males than females. Sex-specific, longitudinal, and experimental studies are needed to identify causal relationships and explore underlying mechanisms.