Background Animal studies indicate that exercise reduces myocardial damage during myocardial infarction by ischaemic preconditioning. Aim To determine from a prospective cohort study whether the level of leisure time physical activity (LTPA) in humans prior to myocardial infarction could modify the course of myocardial infarction by reducing case fatality and the subsequent risk of heart failure and mortality. Methods A total of 14,223 participants in the Copenhagen City Heart Study were assessed at baseline in 1976-1978; 1,664 later developed myocardial infarction (mean age at myocardial infarction 70.9 years) and were followed through registries until 2013. We explored the association of LTPA assessed before myocardial infarction with the risk of fatal myocardial infarction, heart failure and all-cause mortality after myocardial infarction. Odds ratios (ORs) and hazard ratios (HRs) were estimated by logistic and Cox proportional hazards regression models, adjusted for age at myocardial infarction and other potential confounders. Results A total of 425 (25.5%) myocardial infarctions were fatal. Higher levels of LTPA prior to myocardial infarction were associated with lower case fatality: adjusted ORs (95% confidence interval), with reference to sedentary LTPA were 0.68 (0.51-0.89) for light LTPA and 0.53 (0.38-0.74) for moderate/high LTPA. A total of 360 (29.1%) of the 1,239 myocardial infarction survivors developed heart failure and 1,033 (83.4%) died during follow-up. There was no association between LTPA levels prior to myocardial infarction and the risk of heart failure or all-cause mortality after non-fatal myocardial infarction: adjusted HRs for moderate/high versus sedentary LTPA were 1.06 (0.78-1.45) and 0.90 (0.74-1.08), respectively. Conclusion Individuals who were physically active had lower case fatality of myocardial infarction, but survivors were not protected against subsequent heart failure or mortality.