Physical activity (PA) participation was substantially reduced at the start of the COVID-19 pandemic. The purpose of this study was to assess the association between PA, mental health, and wellbeing during and following the easing of COVID-19 restrictions in the United Kingdom (UK) and New Zealand (NZ). In this study, 3363 adults completed online surveys within 2–6 weeks of initial COVID-19 restrictions (April/May 2020) and once restrictions to human movement had been eased. Outcome measures included the International Physical Activity Questionnaire Short-Form, Depression Anxiety and Stress Scale-9 (mental health) and World Health Organisation-5 Wellbeing Index. There were no differences in PA, mental health or wellbeing between timepoints (p > 0.05). Individuals engaging in moderate or high volume of PA had significantly better mental health (−1.1 and −1.7 units, respectively) and wellbeing (11.4 and 18.6 units, respectively) than individuals who engaged in low PA (p < 0.001). Mental health was better once COVID-19 restrictions were eased (p < 0.001). NZ had better mental health and wellbeing than the UK (p < 0.001). Participation in moderate-to-high volumes of PA was associated with better mental health and wellbeing, both during and following periods of COVID-19 containment, compared to participation in low volumes of PA. Where applicable, during the current or future pandemic(s), moderate-to-high volumes of PA should be encouraged.