Physical activity is associated with various health benefits for people with mental illness (PMI). Very few studies to date have examined the factors associated with physical activity among PMI in the Chinese context. The present study examined the factors related to physical activity using the health belief model and the association between physical activity and perceived health among 443 PMI in Hong Kong using stratified sampling. Results from the structural equation modeling showed that among all the factors of the health belief model, self-efficacy was significantly related to higher levels of physical activity, and perceived barriers were significantly related to lower levels of physical activity. In addition, physical activity was significantly related to better perceived health and fewer health needs. Interventions to promote physical activity among PMI should aim to increase their self-efficacy in initiating and adhering to physical activity and to remove barriers to physical activity.