Background/Objectives: The aim of the study is to examine the association between self-reported physical activity and mental well-being. Methods: This cross-sectional study was conducted between 2023 and 2025. The participants were second-year dental students. Data collected included general demographic characteristics, assessment of mental well-being by the WHO-5 Well-Being Index (WHO-5), level of physical activity by the International Physical Activity Questionnaire (IPAQ), and type of physical activity. Results: Three hundred seventy-two second-year dental students were included in the study. The median WHO-5 percentage score was 56. From the study sample, 42.2% (n = 157) of dental students had a WHO-5 percentage score below 50, indicating a poor mental well-being. The majority of students had a high level of physical activity (n = 206; 55.4%). By linear regression analysis adjusted for sex, age, smoking status, academic cohort year and BMI (Body Mass Index), it was observed that sitting time and female sex were significant negative predictors of WHO-5 score, whereas moderate-intensity physical activity (registered by moderate MET score of IPAQ) was a significant positive predictor of it. Also, students who regularly practiced sports had higher WHO-5 scores (median 60 vs. 52, p = 0.002). Conclusions: The results of the study suggest that mental well-being is positively associated with moderate physical activity and negatively associated with sitting time. Prospective studies are recommended to increase knowledge of physical activity as an intervention for increasing the level of mental well-being in this population.