Background: Cognitive-behavioral physical activity interventions focus on improving thought patterns and behaviors, offering significant benefits in reducing social appearance anxiety and enhancing overall mental well-being. Additionally, a strong athlete identity positively influences men’s resilience to social pressures, promoting higher participation in physical activities and reducing anxiety related to body image. Methods: This study aims to explore the impact of cognitive-behavioral physical activity (CBPA) on social appearance anxiety (SAA) among male fitness center customers, considering the mediating role of athlete identity (AI). A convenience sampling technique was employed, targeting 700 male participants aged 20–45 from various fitness centers in Türkiye. The final sample consisted of 886 participants after removing incomplete or erroneous data. Data were collected using three main scales: the Social Appearance Anxiety Scale (SAAS), the Cognitive Behavioral Physical Activity Scale (CBPA) and the Athletic Identity Measurement Scale (AIMS). These tools measure participants’ anxiety related to appearance, engagement in physical activities, and the strength of their athlete identity, respectively. Data analysis was performed using Structural Equation Modeling (SEM) with the IBM SPSS AMOS 24 software to examine the theoretical model and assess the relationships between CBPA, AI and SAA. Results: The findings show that CBPA has significant direct and indirect effects on SAA. While CBPA has indirect effects on SAA through athlete identity, its direct effect is strong. Conclusions: In particular, it was determined that CBPA strengthens athlete identity, which may increase social appearance anxiety. These findings suggest that cognitive and behavioral approaches to physical activity play an important role in helping individuals manage social anxiety. Future intervention programs may develop effective strategies to manage social anxiety by targeting the strengthening of athlete identity and the use of cognitive behavioral techniques. This study makes important contributions to the field of sports psychology and body perception.