Studies conducted in Denmark reveal that many young women drop out of sport and exercise in their teenage years even though they possess good knowledge about health recommendations and the benefits of physical activity. This raises the question as to how they interpret and make use of the current messages about a healthy and active lifestyle. Based on five focus-group interviews and a survey among 784 female students aged 16-20, we explored their attitudes and practices with regard to physical activity and health. The analysis of the material is theoretically informed by the work of Foucauldian scholars who have used the concepts of governmentality and disciplinary power to explore current public health policies and young people’s health-related attitudes and practices. We found that for the participants in our study ‘health’ was inextricably intertwined with slimness and fitness, to which they ascribed great importance. The internalization of current ideals of the slim and fit body fueled aspirations but did not necessarily lead to the adoption and maintenance of an active lifestyle. We conclude that health messages and body ideals often cause anxieties and guilt among young women, which may even prevent engagement in sport and exercise.