Aim The aim of this preliminary study was to examine the effects of a 12-week remote supervised physical activity intervention on daily self-reported sleep quality among women with breast cancer and severe depressive and anxiety symptoms. Method A series of N-of-1 trials with an A-B-A’ design was carried out with ecological momentary assessments. Phase A and A’ (2-week) represented pre- and post-intervention measures and phase B represented the intervention phase. Participants received a daily prompt to report their sleep quality. Sixteen participants completed the treatment. Results Sixteen out of eighteen participants completed the intervention. Participants’ age ranged from 29 to 61 years old, and 10 were included during their cancer treatment. A significant improvement of sleep quality was observed in 9 participants with moderate to large effects. However, the intervention had a moderate and significant negative effect on the sleep quality in 2 patients. Conclusion This is the first study to show that physical activity is potentially effective in women with breast cancer and severe depressive and anxiety symptoms. The findings justify extension to a randomized controlled trial.