Background First responders (eg, police, firefighters, and paramedics) are at high risk of experiencing poor mental health. Physical activity interventions can help reduce symptoms and improve mental health in this group. More research is needed to evaluate accessible, low-cost methods of delivering programs. Social media may be a potential platform for delivering group-based physical activity interventions. Objective This study aims to examine the feasibility and acceptability of delivering a mental health–informed physical activity program for first responders and their self-nominated support partners. This study also aims to assess the feasibility of applying a novel multiple time series design and to explore the impact of the intervention on mental health symptoms, sleep quality, quality of life, and physical activity levels. Methods We co-designed a 10-week web-based physical activity program delivered via a private Facebook group. We provided education and motivation around different topics weekly (eg, goal setting, overcoming barriers to exercise, and reducing sedentary behavior) and provided participants with a Fitbit. A multiple time series design was applied to assess psychological distress levels, with participants acting as their own control before the intervention. Results In total, 24 participants (12 first responders and 12 nominated support partners) were recruited, and 21 (88%) completed the postassessment questionnaires. High acceptability was observed in the qualitative interviews. Exploratory analyses revealed significant reductions in psychological distress during the intervention. Preintervention and postintervention analysis showed significant improvements in quality of life (P=.001; Cohen d=0.60); total depression, anxiety, and stress scores (P=.047; Cohen d=0.35); and minutes of walking (P=.04; Cohen d=0.55). Changes in perceived social support from family (P=.07; Cohen d=0.37), friends (P=.10; Cohen d=0.38), and sleep quality (P=.28; Cohen d=0.19) were not significant. Conclusions The results provide preliminary support for the use of social media and a multiple time series design to deliver mental health–informed physical activity interventions for first responders and their support partners. Therefore, an adequately powered trial is required. Trial Registration Australian New Zealand Clinical Trials Registry (ACTRN): 12618001267246; https://anzctr.org.au/Trial/Registration/TrialReview.aspx?ACTRN=12618001267246.