Physical inactivity and sedentary lifestyles appear to be critical factors in developing mental health problems, including depression, anxiety, and other diseases in developed societies. This study analysed the associations between physical activity level (PAL) and mental health using the Goldberg General Health Questionnaire (GHQ12) in the Spanish population before the COVID-19 pandemic. A cross-sectional design, based on data from the Spanish National Health Survey (ENSE 2017), the last health survey before the pandemic, was carried out with 17,641 participants. Data did not follow a normal distribution, so non-parametric tests were used to analyse intergroup differences, differences at baseline and post hoc, and correlations between variables. Associations were found between the PAL, mental health and all its dimensions. The groups that performed moderate and intense PAL showed lower values in the GHQ12 questionnaire than those who walked or were inactive. Thus, higher PAL was associated with better mental health indicators, including successful coping, self-esteem and stress. This study provides a framework to compare outcomes between the pre- and post-pandemic periods, as the ENSE is performed every five years.