The purpose of this article is to analyse the association between types of physical activity and self-rated physical and mental health. The analyses are based on data from a Danish 2020 survey of adults’ exercise habits. The questionnaire was answered by 163,131 adults of whom 55 pct. were women and relatively evenly distributed by age. The questionnaire included questions about participation in different types of physical activity, self-rate of physical and mental health and sociodemographic and socioeconomic background. The analysis distinguishes between 16 main types of sports and exercise activities, cycling as a mode of transport, and gardening at home. The statistical analysis consists of ordinal regression, where the association between practicing a certain form of physical activity and self-rated health takes into account the adults other physical activity habits and their socio-economic and socio-demographic background. The analyses show, firstly, that the association, for most types of physical activity, is stronger for self-rated physical health than for self-rated mental health. Secondly, there are large differences in the strength of the association between the different types of physical activity. Thirdly, the association is significantly stronger for those who practise an activity type most days of the week than for those who do it less often. Fourthly, the analyses show small gender differences in the association between types of physical activity and self-rated health. Finally, the more different types of activity a person practises during a week, the better the self-rated health, but this primarily applies to self-rated physical health.