Objective: To explore the associations between physical education attendance and mental health indicators. Methods: Using data from the Global Student Health Survey, the frequency of physical education attendance, suicidality-related indicators, loneliness, bullying, and anxiety were all assessed using a standardized self-reported questionnaire. Multivariable logistic regression was used to estimate the association between physical education attendance and mental health-related indicators. Results: The study included 276,169 participants from 71 countries (47.3% males, aged 11–18 years old). After controlling for sex, age, food insecurity, close friends, physical activity, sedentary time, others’ help, and parents’ understanding, physical education attendance was not signifi- cantly associated with suicidal attempts, suicidal ideation, and anxiety. However, compared with no physical education attendance, individuals attending physical education for 1, 2, as well as 5 or more days had significantly reduced odds/ratios of suicide; only 2 days of physical education attendance was associated with a lower odds ratio for suffering from loneliness. Even 1 day of physical education was associated with not being bullied by others. Conclusion: This study suggests that physical education attendance may not have an effective role in reducing mental health illnesses in children and adolescents. Future studies are encouraged to corroborate or negate our research discoveries by using better and further improved study designs.