This study examined the effects of different sports and exercise frequency and intensity on students' physical strength, anxiety, and depression levels, particularly in the context of COVID-19 pandemic. The study was conducted over a 4-month period, utilizing a structured university physical education program with 15 weekly sessions. Physical strength was measured in terms of height, weight, vital capacity, standing long jump, and sit-and-reach flexibility. Physical attributes, physical fitness, and psychological attributes were evaluated using standardized questionnaires both before and after the exercise intervention. Psychological attributes were determined in terms of anxiety and depression by using the self-rating anxiety scale (SAS) and self-rating depression scale (SDS). The golf group showed significant improvements in the vital capacity and sit-and-reach flexibility, whereas the basketball group showed significant gains in vital capacity and standing long jump. The table tennis group demonstrated a statistically significant increase in vital capacity after the exercise intervention. The control group did not exhibit significant differences in any of the aspects before and after the intervention. Regarding the psychological attributes, significant reductions in SAS and SDS scores were observed after the intervention in the golf and basketball groups; however, the table tennis group exhibited statistically significant improvements only in the SDS scores. This study highlights the effectiveness of exercise and exercise interventions in reducing anxiety and depression and explains the correlation between exercise habits, participation frequency, and intensity. Importantly, this study reveals the complex and potentially detrimental relationship among exercise intensity, frequency, and mental health. In conclusion, engaging in high-intensity exercise does not always contribute to better mental health but may increase the risks of anxiety and depression, indicating that regular participation in exercise interventions is crucial to harness psychological health benefits.