Although the return to sports during COVID-19 has been associated with improvements in mental health and quality of life (QOL), whether these benefits are primarily due to increases in physical activity (PA) is unknown. To determine whether PA increases were responsible for the improvements in mental health and QOL among adolescents who returned to sport during the COVID-19 pandemic. Cross-sectional study. Wisconsin secondary schools. A total of 559 adolescent athletes (age = 15.7 + 1.2 years, females = 43.6%) from 44 schools completed a survey in October 2020. Demographic information, whether they had returned to sport participation, school instruction type, anxiety (Generalized Anxiety Disorder-7), depression (Patient Health Questionnaire-9), QOL (Pediatric Quality of Life Inventory 4.0), and PA (Hospital for Special Surgery Pediatric Functional Activity Brief Scale). Mediation analysis was used to assess whether the relationships between sport status and anxiety, depression, and QOL were mediated by PA. At the time of the study, 171 (31%) had returned to play and 388 (69%) had not. Athletes who had returned to play had less anxiety (3.6 ± 0.4 versus 8.2 ± 0.6, P < .001) and depression (4.2 ± 0.4 versus 7.3 ± 0.6, P < .001) and higher QOL (88.1 ± 1.0 versus 80.2 ± 1.4, P < .001) and more PA (24.0 ± 0.5 versus 16.3 ± 0.7, P < .001). Physical activity explained a significant, but small, proportion of the difference in depression (22.1%, P = .02) and QOL (16.0%, P = .048) but not anxiety (6.6%, P = .20) between athletes who had and those who had not returned to play. Increased PA was responsible for only a small portion of the improvements in depression and QOL among athletes who returned to sports. This suggests that most of the mental health benefits of sport participation for adolescents during the COVID-19 pandemic were independent of the benefits of increased PA.