Secondary analysis of four surveys was carried out in order to examine the association of physical activity and various aspects of mental health in the household populations of the United States and Canada. Level of physical activity was shown to be positively associated with general well-being, lower levels of anxiety and depression, and positive mood. This relationship is independent of the effects of socioeconomic status and physical health, and described younger and older members of both sexes. The association is particularly strong for women and persons age 40 years and over. The robustness of this conclusion stems from the nature of the data sources: four population samples in two countries over the span of 10 years in which physical activity levels were assessed by four techniques and psychological status was assessed by six distinct scales. Although the surveys are cross-sectional, the most plausible explanation for the results is that physical activity enhances mental health in certain respects. Data on the comparative effects of recreation and housework suggest that quality of time, and not mere energy expenditure, must be taken into account in attempts to explain the psychological benefits of physical activity.