Objectives: We assessed the relationship between physical activity (PA) and mental health among Chinese adolescents. Methods: We conducted a cross-sectional survey in 4 Chinese cities - Beijing, Shanghai, Nanchang, and Urumchi. We randomly selected 25 schools from these cities in both urban and suburban areas. A total of 9269 adolescents completed the survey. We conducted multilevel logistic regressions to examine the relationship between PA engagement and mental health, adjusting for various sample characteristics. Results: Compared to those with low levels of daily PA, adolescents with moderate and high levels of daily PA had lower odds of having learning anxiety (23% for moderate and 37% for high), solitude tendency (52% for moderate and 41% for high), self-accusation (13% for moderate and 15% for high), experiencing sensitivity (15% for moderate and 13% for high), physical symptoms (20% for moderate and 21% for high), and a general mental health problem (total score of all the domains: 41% and 34%). Conclusions: An increase in PA participation holds the potential to improve multiple mental health domains among Chinese adolescents. Future longitudinal or experimental research is warranted to confirm findings from this study.