Physical activity is known to have a positive relationship with an individual's mental health and well-being. However, there is not enough data on how different types of physical activity participation relate to mental health. The study aims to examine the relationship between different types of physical activities on mental health status among U.S. adults. This study used a secondary data analysis of 316,959 participants from the 2019 Behavioral Risk Factor Surveillance System (BRFSS) survey. Seventy-four different activities were identified and categorized into eight distinct activity types. Proportional odds logistic regression was utilized to calculate crude and adjusted odds ratios between physical activity type and mental health status. Overall, walking (38.9%) was the most commonly reported physical activity type. Compared to no physical activity, the crude and adjusted odds of experiencing mental health problems were significantly lower for all physical activity types, with adjusted odds ratios from 0.65 to 0.85. Running, sports, and weightlifting had the strongest relationships to better mental health while household tasks had the weakest, though when adjusting for multiple testing there were no significant differences in mental health between different types of physical activity. Individuals participating in any physical activity have lower odds of experiencing mental health problems during the previous 30 days compared to inactive individuals. Knowing what type of specific physical activity adults commonly participate in and understanding their relationships with mental health can help in physical activity promotion and strategies.