Background: In Spain, people who have overcome some type of cancer have significantly worse self-perceived health (SPH) and higher rates of depression than people who have never suffered any type of cancer. Objective: to explore the relationships among physical activity levels (PAL), perceived social support (PSS), and SPH in terms of mental health and its dimensions in Spanish adults with cancerous tumours. Methods: A correlational study rooted in the National Health Survey 2017 for adults was carried out, including 627 Spanish residents who reported having malignant tumours. Results: A dependent association was found between PAL and SPH (p < 0.001). The mental health mean score decreased as PAL increased for the total sample and for both sexes, separately (p < 0.001). Low reverse associations were also observed between PAL and mental health (rho: −0.274; p < 0.001), successful coping (rho: −0.239; p < 0.001) and self-confidence (rho: −0.264; p <0.001). Moreover, PSS weakly and inversely correlates with mental health (r: −0.225; p < 0.001), successful coping (r: −0.218; p < 0.001) and self-confidence (r: −0.231; p < 0.001). A binary logistic model showed that active and very active people presented less threat of poor SPH, as did people with higher PSS (p < 0.001). Conclusions: Greater levels of physical activity are associated with larger mean scores in the three dimensions of mental health, perceived social support and self-perceived health in people with cancerous tumours.