Background <p>Adolescent negative emotions are a major public health concern. Physical exercise is often associated with better emotional health, yet the psychological processes underlying this association, particularly in Chinese adolescents, are not fully understood. This study examined whether stress perception and emotional sensitivity are related to the association between physical exercise and negative emotions.</p> Methods <p>A cross-sectional survey was conducted with 1,471 adolescents (54.52% male; Mean age = 13.16, SD = 1.01) from ten middle schools in Guangxi Province, China. Validated Chinese versions of established instruments assessed physical exercise (Youth Physical Activity Rating Scale), negative emotions (PANAS Negative Affect subscale), stress perception (Perceived Stress Scale), and emotional sensitivity operationalized through emotional contagion susceptibility. Path analysis using maximum likelihood estimation with robust standard errors tested the hypothesized sequential mediation model. Bootstrap confidence intervals (5,000 resamples) evaluated indirect effects.</p> Results <p>Path analysis revealed good model fit (χ²/df = 3.62, CFI = 0.96, TLI = 0.94, SRMR = 0.05, RMSEA = 0.04). Physical exercise demonstrated significant direct (β = -0.13, 95% CI [-0.22, -0.09]) and indirect (β = -0.12, 95% CI [-0.27, -0.08]) associations with negative emotions. Stress perception accounted for 40% of the total association between physical exercise and negative emotions (β = -0.10, 95% CI [-0.16, -0.07]). The sequential indirect association via stress perception and emotional sensitivity accounted for 8% of the total association (β = -0.02, 95% CI [-0.05, -0.01]). The direct path from physical exercise to emotional sensitivity was non-significant (β = -0.04, <i>p</i> = 0.23), which is consistent with an indirect-only pattern via stress perception in the specified model.</p> Conclusions <p>The findings are consistent with a sequential mediation model in which physical exercise is associated with lower negative emotions both directly and indirectly, primarily through lower stress perception and, to a lesser extent, through a sequential pathway involving emotional sensitivity. Although the cross-sectional design does not permit causal conclusions, the observed pattern of associations highlights physical exercise and stress perception as important contextual factors to consider when developing strategies to support adolescent emotional health.</p>