The COVID-19 outbreak and svift policy response affected the everyday lives of youth in Serbia, challenging their mental well-being. Aiming to examine the relationship between physical activity level (PAL) and mental well-being of adolescents during the strictest lockdown in Serbia, in April 2020, we analyzed data collected through the national online survey (N = 3089). According to the self-reported moderate-to-vigorous physical activity (MVPA), participants were divided into three groups: 1) engaged in MVPA for at least 60 minutes every day; 2) engaged in MVPA for at least 60 minutes on 4-6 days per week; and 3) engaged in the same amount of MVPA on 0-3 days per week. Mental well-being measures included life satisfaction, self-rated health, and health complaints. An one-way ANOVA detected a significant effect of adolescents’ PAL on their life satisfaction, F(3,27) = 49.64, p = 0.000. The Tukey test showed that the mean life satisfaction was significantly higher in the most active group (M = 8.66, SD = 1.56) than in the moderately active group (M = 8.27, SD = 1.56), and the least active group (M = 7.93, SD = 1.76). The chi-square tests revealed significant associations between adolescents’ PAL and health complaints; less active adolescents were more likely to experience symptoms like headache, nervousness, feeling low, irritability, sleep difficulties, and dizziness (p ≤  0.00). They also experienced multiple health complaints more frequently and self-rated their health less favorably. Therefore, physical activity should be promoted as a protective factor for adolescents’ mental well-being, particularly in emergencies.