A cross-sectional study design was used to examine associations between frequency of physical activity and participation in sports with mental wellbeing, and symptoms of depression and anxiety. Surveys were completed in post-primary schools by 5,661 adolescents from the Republic of Ireland. Validated instruments were used to assess frequency of physical activity, participation in sports, mental wellbeing (WEMWS), depressive symptoms (BDI) and anxiety (BAI). A minority of the sample (11.5% of males and 5.3% of females) were found to meet WHO’s physical activity guidelines (60 minutes or more each day). Frequency of activity were found to decline with age. Frequency of activity was positively associated with wellbeing and negatively associated with symptoms of anxiety and depression. Males had higher levels of wellbeing and lower levels of anxiety and depressive symptoms across all sub-groups. Adolescents who engaged in sports were found to have higher levels of wellbeing and lower symptoms of anxiety and depression with team sport conferring an additional benefit. Future physical activity recommendations for children and adolescents should include mental as well as physical health benefits.