More physical activity is associated with fewer mental health problems among adolescents, but the underlying mechanisms are not clear. The aim of this article is to investigate whether the association between physical activity and mental health is mediated by body-weight perception (self-image) or the social aspects of participation in organized sports (social interaction). Data from 7,304 adolescents were drawn from the Dutch Health Behaviour in School-Aged Children survey. Logistic regression analyses showed that, compared with respondents who were physically active, inactive respondents were at higher risk for both internalizing (odds ratio [OR] = 1.52, p < .001) and externalizing (OR = 1.34, p < .05) problems. The inclusion of body-weight perception and sports-club membership variables reduced the strength of the association to an OR of 1.35 ( p < .05) for internalizing problems and an OR of 1.20 ( p = .132) for externalizing problems. This study found some support for the self-image and social interaction hypotheses and thereby confirms the importance of the psychological and sociological aspects of physical activity.