Providing informal care for older people, or people with chronic conditions, is associated with poorer physical and mental health and reduced quality of life. This task, in many cases, often relies on the women in the immediate family. Physical activity (PA) is a tool to enhance caregivers’ physical and mental health and their quality of life. Thus, this study aimed to analyse the associations between the physical activity level (PAL), self-perceived health (SPH) and mental health (SM) and its factors (positive coping, self-esteem, and stress) by conducting a cross-sectional study by using data from in the National Health Survey 2017 (ENSE 2017), the last one before the COVID-19 pandemic. The sample included 2225 caregivers (866 men and 1361 women). Descriptive analysis and non-parametric statistical tests, including chi-square, the Kruskal–Wallis test, the Mann–Whitney U test, and the Spearman’s rho correlation coefficient, were used. Dependence relationships were found between PAL and SPH and MH and their factors. The population groups that performed moderate or vigorous PA showed better results in both SPH and MH. Women scored worse than men in all the variables analysed. Hence, intense, or moderate PA practice may improve SPH and MH in Spanish informal caregivers, requiring the implementation of policies and programs considering the differences found between men and women in PAL, SPH, and MH.