Physical activity is often presented as an effective tool to improve self-esteem and/or to reduce anxiety. The aim of this study was to measure the influence of a regular extra curricular sports practice on self-esteem and anxiety. We conducted a prospective cohort study, which has included all of the pupils entering the first year of secondary school (sixth grade) in the Vosges Department (east France) during the school year 2001-2002 and followed during three years. Data were collected every six months by self-reported questionnaires. 1791 pupils were present at each of the six data collection sessions and completed all the questionnaires, representing 10,746 documents: 835 boys (46.6 %) and 956 girls (53.4 %), in November 2001, the average age was 11.1 ± 0.5 years (mean ± standard deviation). 722 pupils (40.3 %) reported that they had practiced an extra-school physical activity in a sporting association from November 2001 to May 2004 (ECS group), whereas, 195 (10.9 %) pupils had not practiced any extra-school physical activity at all (NECS group). The average global scores of self-esteem (Rosenberg’s Scale) and trait anxiety (Spielberger’s Scale) of the ECS pupils were, respectively, higher and lower than those of the NECS group. However, the incidence density (number of new cases during a given period / total person-time of observation) of moderate or severe decrease of self-esteem (less than “mean - one standard deviation ”or less than “mean - two standard deviations”) was not significantly different between the two groups, a finding that was also evident also in the case of trait anxiety. Finally, among ECS pupils, the incidence density of severe decrease of self-esteem was lower at the girls’. Practitioners and physical education teachers, as well as parents, should be encouraged to seek out ways to involve pupils in extra-school physical activities.