Background: Dyslipidemia is a significant risk factor for cardiovascular and cerebrovascular events globally. Current findings have linked dyslipidemia with mental health. Since physical activity level (PAL) is a modifiable risk factor associated with CVD and depression risk, it is worth knowing if the level of PA among dyslipidaemia patients does affect their mental health. Objective: Hence, the main objective of this study was to determine the association between depression, anxiety, and stress and physical activity among lipid-lowering drug (LLD)-treated dyslipidaemia patients. Methods: This was a cross-sectional study that was conducted among dyslipidaemia patients receiving LLD treatment from the Lipid Clinic in Hospital Al-Sultan Abdullah UiTM (HASA) and the Clinical Training Centre (CTC) in Sungai Buloh. Mental health was assessed using the Depression Anxiety Stress Scale (DASS-21), physical activity was assessed using the International Physical Activity Questionnaire (IPAQ-SF), and sleep quality was assessed using the Pittsburgh Sleep Quality Index (PSQI). Results: Most participants fell into the low physical activity level (60.5%), 34.8% fell into the moderate category, and only 4.8% fell into the high physical activity group. A multiple regression model to identify the association between sociodemographic factors, PAL, and sleep quality with depression, anxiety, and stress revealed that low PAL is negatively associated with stress (B = -0.794; OR (95% CI) = 0.45 (0.21 - 0.99); (p = 0.046) but was not significantly associated with depression and anxiety. Conclusions: Although PAL was only associated with stress in this study, interventions should target increasing physical activity, which is an important modifiable risk factor that can reduce the risk of developing depression, anxiety, and stress.