Depressive and anxiety symptoms are common in people with type 1 and type 2 diabetes mellitus. Physical activity and social support may prevent or reduce psychological distress in this population. This study aimed to analyse the associations between psychological distress, self-perceived health (SPH), perceived social support (PSS) and physical activity level (PAL) in adults with a diabetes mellitus diagnosis from Spain. A cross-sectional study based on data from the Spanish National Health Survey (ENSE2017) with a final sample of 1006 individuals with diabetes mellitus aged between 15 and 70 years, who completed the Adult Questionnaire. Some of the items from this survey were taken from existing questionnaires: the Goldberg General Health Questionnaire (GHQ-12) for Mental Health status and psychological distress, the Duke-UNC-11 Functional Social Support Questionnaire for PSS and the International Physical Activity Questionnaire (IPAQ) for PAL. A descriptive analysis and non-parametric statistical tests were carried out, including correlation analysis, multiple binary logistic regression and linear regression model calculations. It was found that SPH was related to PAL (p < 0.001): positive SPH prevalence was higher in the Active and Very Active groups (p < 0.05). Weak inverse correlations were found between the GHQ-12 and the PAL (rho: −0.230; p < 0.001) and PSS (rho: −0.234; p < 0.001). Physical inactivity and lower PSS were risk factors for negative SPH and worst physiological outcomes. Thus, higher PAL and PSS were positively correlated with SPH and lower psychological stress in Spanish adults with diabetes mellitus.