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Physical exercise is associated with sleep quality; however, the underlying mechanisms remain underexplored. This study examined whether mobile phone addiction and rumination mediate the relationship between physical exercise and sleep quality among college students. A cross-sectional survey was conducted among 1,300 college students from seven universities. Physical exercise, sleep quality, mobile phone addiction, and rumination were assessed using the Physical Activity Rating Scale, the Pittsburgh Sleep Quality Index, the Mobile Phone Addiction Tendency Scale, and the Rumination Scale, respectively. Physical exercise negatively predicted mobile phone addiction, rumination, and PSQI scores (β = -0.039, p < 0.01; β = -0.011, p < 0.01; β = -0.022, p < 0.01, respectively). Because higher PSQI scores indicate poorer sleep quality, this negative association suggests better sleep quality. Mobile phone addiction positively predicted rumination and PSQI scores (β = 0.388, p < 0.01; β = 0.244, p < 0.01, respectively), and rumination positively predicted PSQI scores (β = 0.272, p < 0.01). The chain mediation model linking physical exercise to PSQI scores through mobile phone addiction and rumination was statistically significant. Physical exercise was associated with lower mobile phone addiction and rumination, which in turn were associated with lower PSQI scores and, therefore, better sleep quality. These findings support a chain mediation model in which mobile phone addiction and rumination explain part of the relationship between physical exercise and sleep quality and may inform interventions targeting sleep problems in college students.