Background: Physical inactivity has become a global somatic and mental health issue. To counterbalance, promoting regular physical activity appears plausible, above all among adults, where physical inactivity is particularly high. However, some, but sparse, research also indicates that excessive exercising might be associated with unfavorable mental health dimensions. Here, we tested the hypothesis that excessive exercising was associated with more mental health issues. To this end, we assessed mental health issues, stress, mental toughness, and sleep disturbances among heavy and light adult exercisers. Methods: A total of 200 adults (mean age: 35 years; 62% females) took part in the study. Of those, 100 were heavy exercisers (18–22 h/week), and 100 were light exercisers (1–6 h/week). Participants completed questionnaires covering sociodemographic information, mental health issues, perceived stress, mental toughness, and sleep disturbances. Results: Compared with light exercisers, heavy exercisers reported higher mental health issues, more stress, but also higher mental toughness scores and less sleep disturbances. Higher age, lower mental toughness scores, heavy exerciser-status, and more sleep disturbances predicted higher mental health complaints. Conclusions: Compared with light exercising, heavy exercising might be associated with more mental health issues. As such, it appears that the association between exercise frequency, intensity, and duration and psychological well-being might be related to an optimum point, but not to a maximum point. In a similar vein, heavily exercising athletes, their coaches, parents, and representatives of sports associations should get sensitized to possible adverse psychological effects of excessive physical activity patterns.