The purpose of this study is to understand the cultural identity of immigrant women with multi-cultural families, to find out the effects of participating in physical activities on their adjustment to the dual cultural settings and furthermore, to provide fundamental information for policy-makers. Therefore, in-depth interviews and nonparticipation observations were conducted with 8 immigrant women in multi-cultural families participating in a dance program at Multi-Culture Support Center in Y city, Gyeonggi-do, to collect data that were subsequently categorized by inductive analysis according to their behaviors and verbal expressions during the study. The induced results are as follows. The sub-category of cultural identity characteristics of the immigrant women in multi-cultural families were ‘identity towards assimilation’ and ‘identity towards integrity’. It showed that they are trying to accept the cultural identity of Korea for their children (identity towards assimilation) and also try to make a balance between their mother country`s identity and the Korean cultural identity in their children (identity towards integration). The sub-categories of the adjustment to dual cultures along with their participation in physical activities were; first ‘motivation for exercise’ which, they said, is from curiosity and because of the encouragement from other people. Second was ‘the reason for continuing the exercise’ to which they attributed positive personality changes, stress relief, and improved health. Third was ‘an opportunity to socialize,’ which enabled them to form positive social relationships by relieving their feelings of social isolation. The last one was the opportunity to ‘share troubles’ by sharing their language barrier and children issues with other members. In conclusion, it was found that participation of immigrant women in multi-cultural families in physical activities has a positive effect on forming their cultural identity and adjusting to their dual cultural status-quo in Korean society. Therefore, it was found that encouraging immigrants to actively participate in physical activities is helpful for their positive adjustment to Korean society.