In this cross-sectional study, physical activity, sport participation and associations with wellbeing, anxiety and depressive symptoms were examined in a large representative sample of European adolescents. A school-based survey was completed by 11,110 adolescents from ten European countries who took part in the SEYLE (Saving and Empowering Young Lives in Europe) study. The questionnaire included items assessing physical activity, sport participation and validated instruments assessing well-being (WHO-5), depressive symptoms (BDI-II) and anxiety (SAS). Multilevel mixed effects linear regression was used to examine associations between physical activity/sport participation and mental health measures. A minority of the sample (17.9% of boys and 10.7% of girls; p<0.0005) reported sufficient activity based on WHO guidelines (60 minutes+ daily).The mean number of days of at least 60 minutes of moderate-to-vigorous activity in the past two weeks was 7.5±4.4 among boys and 5.9 days±4.3 among girls. Frequency of activity was positively correlated with wellbeing and negatively correlated with both anxiety and depressive symptoms, up to a threshold of moderate frequency of activity. In a multi-level mixed effects model more frequent physical activity and participation in sport were both found to independently contribute to greater wellbeing and lower levels of anxiety and depressive symptoms in both sexes. Increasing activity levels and sports participation among the least active young people should be a target of community and school-based interventions to promote well-being. There does not appear to be an additional benefit to mental health associated with meeting the WHO-recommended levels of activity.