Aim: To evaluate the longitudinal association between physical activity behavior at 11 years of age and the incidence of mental health problems from 11 to 15 years of age. Methods: Individuals born in the city of Pelotas, Brazil, in 1993 have been followed up since birth. At 11 and 15 years of age, mental health was assessed using the Strengths and Difficulties Questionnaire (SDQ). At 11 years of age, physical activity was assessed through a validated questionnaire. The continuous SDQ score at 15 years was used as the outcome variable. The main exposure was physical activity behavior at 11 years of age divided into 3 categories (0, 1-299, > 300 min/wk). Results: The incidence of mental health problems from 11 to 15 years was 13.6% (95% CI, 12.4-14.9). At 11 years, 35.2% of the adolescents achieved 300 min/wk of physical activity. In the unadjusted analysis, physical activity was inversely related to mental health problems (P = .04). After adjustment for confounders, the association was no longer significant in the whole sample but was still significant among boys. Conclusion: Physical activity appears to be inversely related to mental health problems in adolescence, but the magnitude of the association is weak to moderate.