This study aims to identify the current status and relationship between physical activity (PA), mental health, and suicidal behavior among Korean adolescents and recommend appropriate PA types and levels to lower the risk of mental health problems and suicidal behavior among adolescents. This study used the frequency of participation, three mental health factors, and four suicidal behavior factors, according to the seven types of PA, Vigorous PA (VPA), Strength training, Walks, PA on the move, and Physical education questions that 51,636 Korean adolescents responded to in the data of the 18th Korean Youth Health Behavior Survey in 2022. The results showed that physical activity levels and the mental health of female adolescents were the lowest, and the experience rate of suicidal behavior was the highest. Physical activity level and mental health were negative in the upper grades, and the experience rate of suicidal behavior was higher in the lower grades. Thus, the study proposes the following: To lower the overall risk of mental health and suicidal behavior experienced by adolescents, it is effective to encourage them to participate in physical activities which have higher exercise intensities than the Low-level Physical Activity (LPA) type of Walks and PA on the move.