The COVID-19 pandemic has impacted almost every aspect of life, especially daily physical activity and healthy eating habits but also mental health. Our study aimed to examine the relationship between the physical activity level, eating habits and mental health of Serbian adolescents during the COVID-19 pandemic. A total of 3506 students from the territory of the Republic of Serbia participated in this study. IPAQ-short version and HBSC-FFQ were used to assess physical activity level and eating habits, along with self-rated health. Moderate correlations were identified between physical activity, eating habits and mental health, along with average physical activity, very high life satisfaction (β = 0.177, p < 0.01) and very low emotional distress (β = −0.150, p < 0.01). A significant predictor of mental health was the frequency of breakfast on weekdays (β = 0.167, p < 0.01 for life satisfaction and β = −0.153, p < 0.01 for emotional distress), but not on weekends. Since the pandemic’s course is uncertain, the focus should be on maintaining good physical activity, nutrition and well-being.