Studies find that physical activity links with mental health, females engage in less physical activity than males, and females have worse mental health than males. Less attention has been paid to the intersection of physical activity, mental health, and gender. Might physical activity explain links between gender and mental health in adolescence? Or does the mental health benefit of physical activity depend on gender? In addition, while physical activity correlates with better mental health overall, it may be more beneficial for some domains than others. Using four years of cross-sectional data from students (1,756 cases over four years, ages 13–18), we (1) confirmed gender differences in physical activity and mental health, replicating prior studies; examined gender (2) as a confounding variable and (3) as a moderator of the physical activity-mental health link; and (4) tested physical activity as a mediator between gender and mental health. In addition, we considered whether associations vary for different positive and negative mental health domains. Females reported poorer mental health; males engaged in more physical activity. Physical activity was associated with all markers of mental health, having stronger correlations with Engagement and Perseverance than other positive and negative domains. Results better supported a mediational model (physical activity mediating gender-mental health associations) than a moderation model (gender moderating physical activity-mental health associations). Findings indicate the value of physical activity as an adolescent mental health intervention and suggest that barriers to females’ participation in physical activity should be considered.