Research indicates that university and college students are at higher risk of experiencing mental health problems than other populations. This study aims to examine the relationship between Physical Activity (PA) and the mental health of Ukrainian university students during the Corona Virus Disease 2019 (COVID-19) pandemic lockdown. The conventional sample consisted of 1512 students from 11 Ukrainian universities, with a mean age of 20 years (M = 20.06, SD = 3.05) and 69% of whom were female. The cross-sectional online survey was disseminated through the most popular social media channels in Ukraine (i.e., Facebook, Viber, Telegram) and included the Generalized Anxiety Disorder (GAD-7) scale to measure anxiety and the Patient Health Questionnaire (PHQ-9) to assess depression. Data were collected from 14 May to 4 June 2020 during the COVID-19 pandemic outbreak in Ukraine. Among university students, 43% were engaged in PA ≥ 150 min weekly, 24% met the criteria of GAD, and 32% met the criteria of depression. More students were involved in PA before the COVID-19 outbreak than during the national lockdown. Students with anxiety and depression were almost two times less likely to engage in PA than their counterparts without mental health disorders. The inactive group had higher scores of anxiety and depression than the physically active group. The relationship of PA with anxiety and depression was statistically significant but weak during the COVID-19 pandemic.