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Numerous studies have shown physical activity (PA) improves psychological functioning and well-being. However, the underpinning processes and mediating variables are less known. There is evidence that beliefs about the benefits of PA contribute to physical health, regardless of actual PA. By applying these findings in the context of mental health, we sought to investigate the role of belief in the benefits of PA in the relationship between self-reported PA and mental health. A total of 381 employed adults completed the Godin Leisure-Time Exercise Questionnaire, Center for Epidemiologic Studies Depression Scale, and Anxiety subscale of the Emotional state scale. Furthermore, participants reported the degree to which they believe that PA has benefits for their psychological health. The mediation analysis shows that greater PA intensity was associated with lower levels of depression and anxiety. Additionally, belief in the benefits of PA on psychological health had a mediating role. Specifically, more intensive PA was related to a stronger belief in PA benefits, subsequently leading to reduced levels of depression and anxiety. We discuss the neurobiological mechanisms underlying the relationship between PA and mental health, alongside the significant role of mindset.