Physical Activity (PA) could contribute to decreasing psychological distress and improving Self-Perceived Health (SPH) in adults with Asthma. The main objective of this study was to analyse the associations between the Physical Activity Level (PAL) Perceived Social Support (PSS) and Mental Health, using the Goldberg General Health Questionnaire (GHQ-12), and SPH in the adult population with Asthma. This descriptive cross-sectional study is based on data from the 2017 Spanish National Health Survey, including 1040 participants with Asthma in the study. The Kruskal–Wallis test was performed to study the hypothetical differences between the PAL and the different variables derived from the GHQ-12. In addition, correlations between the variables generated and the items of the GHQ-12, together with the PAL and the Duke-UNC-11, were analysed using Spearman’s rho correlation coefficients. Inverse correlations were found between Mental Health and PSS (rho: −0.351) and between Mental Health and PAL (rho: −0.209), as well as in the rest of the GHQ-12 items: successful coping (rho: −0.197), self-esteem (rho: −0.193) and stress (rho: −0.145). The more active subjects had better SPH. Therefore, the research showed how higher PAL and positive SPH are related to lower psychological distress in adults with Asthma.