This is interesting. Intuitively, I would have assumed that humid air is heavier. It certainly feels heavier when I lived in a humid climate. However, according to the interwebs, your statement is correct:
"Dry air is indeed denser than humid air at the same temperature and pressure. This is because when humidity increases, some of the oxygen and nitrogen molecules in the air are displaced by water vapor, which has a lower molecular weight. As a result, the overall mass in a given volume decreases, leading to a lower density for humid air.
The misconception that humid air feels "thicker" or heavier can be attributed to the body's response to humidity. In humid conditions, the rate of evaporation from the skin decreases, making it harder for the body to cool down, which can create a sensation of discomfort or heaviness.
Density=Mass/volume
Since humid air has a lower mass for the same volume, its density is lower compared to dry air."