AimThe aim of the present study was to investigate the cross-sectional association between physical activity levels with depressive symptoms, anxiety symptoms, and positive mental well-being in a sample of the UK public social distancing owing to COVID-19. MethodThis paper presents pre-planned interim analyses of data from a cross-sectional epidemiological study. Levels of physical activity during COVID-I9 social distancing were self-reported. Mental health was measured using the Beck Anxiety and Depression Inventory. Mental wellbeing was measured using The Short Warwick-Edinburgh Mental Well-being Scale. Participants also reported on sociodemographic and clinical data. The association between physical activity and mental health was studied using regression models. Results902 adults were included in this study (63.8% of women and 50.1% of people aged 35–64 years). After adjusting for covariates, there was a negative association between moderate-to-vigorous physical activity per day in hours and poor mental health (OR = 0.88, 95% CI = 0.80–0.97). Similar findings were obtained for moderate-to-severe anxiety symptoms, moderate-to-severe depressive symptoms and poor mental wellbeing. ConclusionsIn the present sample of UK adults social distancing owing to COVID-19 those who were physically active have better overall mental health. Owing, to the cross-sectional design of the present study the direction of the association cannot be inferred.