Several investigations have specified that the implementation of physical activity programs improve mental health. However, there are still doubts about the benefits on the population taking part in Zumba® programs. The purpose of this study was to determine the effects of a Zumba® based working out program on the levels of anxiety-trait and anxiety-state in Chilean university students. It was a quantitative, cuasi-experimental study with a sample of 22 undergraduate female students (experimental group = 10 and control group = 12). The variables were anxiety-trait (A-T) and anxiety-state (A-S), in addition to physical variables, such as anthropometry, maximum oxygen consumption (VO2max) and grip strength. A statistical analysis was performed through a mixed ANOVA. The level of significance for all analyses was p < 0.05. The results showed no significant changes in the different levels of A-T or A-S (p > 0.05), there were also no changes in the other variables (p > 0.05). At the end of the intervention, no effects of the Zumba® program were observed on the different levels of A-T and A-S, nor on anthropometric variables, VO2max or grip strength.