Statistics about the recreational physical activity (PA) of minority ethnic Muslim women reveal very low participation rates. Drawing on approaches to socialization and Bourdieu’s concepts of habitus and taste, the aim of this study was to investigate the (lack of) PA participation of Muslim minority ethnic women in Denmark and to identify key influences which shape(d) their PA attitudes and practices. We conducted semi-structured interviews with 26 female migrant cleaners from various non-Western countries. The interviews revealed that a lack of previous experience of sport and recreational PA and life circumstances constrained participation in recreational PA. In contrast, religion did not provide an explanation for the women’s lack of engagement in recreational PA.