Type 1 Diabetes Mellitus (T1D) is a chronic autoimmune disease characterized by the selective destruction of the beta cells of the pancreas causing an absolute deficiency of insulin for life. This pathology carries associated risks so that it is essential to measure Health-Related Quality of Life (HRQoL) in this population. The aim was to analyse associations between the level of physical activity and HRQoL in people with T1D. The sample consisted of 172 participants with T1D diagnoses, between 18 and 49 years (31.29 ± 8.17). The participants answered different questionnaires related to physical activity (IPAQ) and HRQoL (EsDQOL, ViDa1, 15D, and EQ-5D-5L). The results showed significant correlations between the level of physical activity and HRQoL. Vigorous physical activity had an impact on the HRQoL questionnaires, such as the well-being dimension (rho = 0.349; p < 0.001) of the ViDa1 questionnaire. A significant correlation between total physical activity and levels of anxiety and depression was observed: anxiety (15D) (rho = 0.328; p < 0.001) and anxiety/depression (EQ-5D-5L) (rho = 0.324; p < 0.001). The present study showed associations between higher levels of physical activity and higher HRQoL parameters in the population with T1D, which can be erected as a reason for exercise prescription in these patients.