Understanding the impacts of lifestyle on mental health has become crucial. This study analyzed whether regular physical activity influences mental health indicators related to major depressive disorder, generalized anxiety, and COVID-19-related anxiety and obsession among Brazilian adults during the pandemic. Additionally, social adjustment and health and disability were assessed to measure broader impacts of physical activity on daily functioning and quality of life during the COVID-19 pandemic, an anxiogenic period. Participants completed sociodemographic, physical activity, and clinical surveys, along with standardized mental health scales: the Patient Health Questionnaire-9 (PHQ-9), Generalized Anxiety Disorder-7 (GAD-7), the Brazilian version of the Coronavirus Anxiety Scale (CAS-BR), the COVID-19 Obsession Scale (PB-OCS), the Work and Social Adjustment Scale (WSAS), and the WHO Disability Assessment Schedule (WHODAS 2.0). Descriptive analysis characterized the sample, while univariate, bivariate, and multivariate analyses of variance were conducted to explore the influence of physical activity and sex on mental health outcomes. The results indicated that women exhibited poorer mental health outcomes than men across most measures. Engaging in regular physical activity significantly reduced the risk of major depressive disorder in both women and men. Additionally, physically active women-but not men-had a lower likelihood of generalized anxiety and social adjustment impairments. Furthermore, individuals with longer engagement in physical activity (> 5 years) experienced greater mental health benefits compared to those with shorter engagement (< 5 years), particularly for depressive symptoms and generalized anxiety. This study highlights the protective effects of regular physical activity on mental health, with sex-specific differences in its impact. Long-term engagement in physical activity provides greater mental health benefits, reinforcing the importance of promoting sustained participation rather than short-term engagement.