Human speech production encompasses physiological processes that naturally react to physic stress. Stress caused by physical activity (PA), e.g., running, may lead to significant changes in a person's speech. The major changes are related to the aspects of pitch level, speaking rate, pause pattern, and breathiness. The extent of change depends presumably on physical fitness and well-being of the person, as well as intensity of PA. The general wellness of a person is further related to his/her physical literacy (PL), which refers to a holistic description of engagement in PA. This paper presents the development of a Cantonese speech database that contains audio recordings of speech before and after physical exercises of different intensity levels. The corpus design and data collection process are described. Preliminary results of acoustical analysis are presented to illustrate the impact of PA on pitch level, pitch range, speaking and articulation rate, and time duration of pauses. It is also noted that the effect of PA is correlated to some of the PA and PL measures.