Purpose: To investigate if occupational physical activity (OPA) and leisure-time physical activity (LTPA) influence the association between musculoskeletal pain and sleep problems. Methods: Cross-sectional study includes 678 workers in the Danish PHysical ACTivity cohort with Objective measurements (DPhacto). Musculoskeletal pain was assessed by questionnaires, while OPA and LTPA were measured with accelerometers for up to 6 consecutive days. We used logistic regression to calculate odds ratios (ORs) with 95% confidence intervals (CIs) for self-reported insomnia symptoms and non-restorative sleep. Results: Analyses of the joint association of musculoskeletal pain and OPA showed that workers with high pain and high OPA had ORs of 5.80 (95% CI 2.64–12.67) for insomnia symptoms and 2.50 (95% CI 1.37–4.57) for non-restorative sleep, compared to those with low pain and low OPA, whereas workers with high pain and low OPA had ORs of 4.67 (95% CI 2.17–10.07) for insomnia symptoms, and 2.67 (95% CI 1.46–4.89) for non-restorative sleep, respectively. Furthermore, workers with high pain and high LTPA had ORs of 4.23 (95% CI 2.16–8.32) for insomnia symptoms and 1.95 (95% CI 1.09–3.48) for non-restorative sleep, compared to those with low pain and low LTPA, whereas workers with high pain and low LTPA had ORs of 3.34 (95% CI 1.66–6.70) for insomnia symptoms and 2.14 (95% CI 1.21–3.80) for non-restorative sleep, respectively. Conclusions: Workers with high musculoskeletal pain who also conducted high levels of OPA or LTPA reported higher prevalence of insomnia symptoms.