Background: The aim of this research is to investigate the associations between physical activity and mental health parameters (depression, anxiety, and stress) among women who have recovered from COVID-19; Methods: This research involved two measurements: the initial test, conducted 2-to-4 weeks post-COVID infection, and the final test, performed 14-to-16 weeks after the virus’s activity. The sample consisted of women (n = 190) aged 20 to 60 (47.60 ± 11.1, 47.60 ± 11.1, mean ± Std.Dev.) who were infected with COVID-19. To assess the level of physical activity, a longer version of the IPAQ questionnaire was used. Self-assessment of mental health was determined by a longer version of the DASS questionnaire; Results: The t-test analysis revealed significant differences in mental health and physical activity levels between the initial and final measurements. After three months, subjects showed lower mental health scores (indicating improvement) and higher Metabolic Equivalent of Task (MET) values across all physical activity domains, with moderate physical activity showing the greatest increase. The regression analysis showed that at the initial measurement, there was no statistically significant association of physical activity with mental health parameters. Three months after the initial measurement, regression analysis showed that there was a statistically significant association of physical activity with anxiety (F = 3.97; p = 0.000) and depression (F = 3.34; p = 0.001) but not with stress (F = 1.67; p = 0.106); Conclusions: This research revealed that higher levels of physical activity improved mental health in post-COVID-19 women, with varying effects on anxiety and depression depending on the activity domain.