In this article, associations between different types of sports/physical exercise and wage income are analyzed. Using data from the Russian Longitudinal Monitoring Survey, several Mincer earnings functions were estimated in dynamic and static models, controlling for gender, city size, ethnicity, civil status, number of children, migration background, type of occupation, health status, weight, and height. The main findings suggest that those who participate in sports/physical exercise obtain higher wages, about 6-10%, in comparison with sedentary individuals. In addition, the intensity of physical exercise is positively linked to wages. Moreover, the empirical strategy pinpointed the specific activities with robust effects: using exercise equipment, swimming, dancing, and aerobics. However, the evidence does not show significant associations in the case of clerical support workers. The findings of this research are a reminder to support public policies on physical activities and sport facilities at the local level and for ordinary people. In addition to the well-known effects of sports/physical exercise on health status, the evidence suggests wage increases, that is, labor productivity.