Introduction: Physical activity (PA) practices and especially inactivity, track significantly from adolescence to young adulthood. PA is speculated to heighten psychosocial outcomes, such as self-esteem and cognitive functioning. However, PA levels have decreased with age across adolescence, with more female preponderance. This study aimed to explore the associations between physical activity and adolescent's mental health. Methodology: A cross-sectional study design was opted to evaluate associations between frequency of physical activity and sports participation with mental well-being, and symptoms of depression and anxiety in adolescents (13-17 years). Validated instruments were used to assess frequency of physical activity, participation in sports, mental wellbeing (WEMWBS), depressive and anxiety symptoms (RCADS). Results: A total of 796 adolescents were enrolled. A minority of the sample (8.0% of boys and 4.2% of girls) were found to meet WHOs PA guidelines. Frequency of activity was noted to lessen with age and was positively associated with mental well-being, and negatively associated with symptoms of anxiety and depression. Boys had higher levels of well-being and lower levels of anxiety and depressive symptoms across all age-groups. Conclusion: Adolescents involved in sports were found to have higher levels of well-being and lower symptoms of anxiety and depression with team sport deliberating an added advantage. Prospect physical activity advocacy for adolescents should encompass psychophysical benefits.