Theoretically, mental toughness has the potential to foster mental health either directly or through the promotion of resilient adaptation. Variations in physical activity level are expected to significantly account for variations in mental toughness; which is a prerequisite of toughness-based mediation. The purpose of this study was to compare the mental toughness of adolescents and young adults with self-reported exercise, physical activity and recommended levels of physical activity. A total of 284 high school students (99 males, 185 females, M age = 18.3 years, SD = 4.17) completed the Mental Toughness Questionnaire (MTQ48). They also reported on vigorous exercise and moderate physical activity by completing items from the International Physical Activity Questionnaire (IPAQ). Male participants reported higher toughness scores than females for most subscales. After controlling for gender, participants with higher exercise and physical activity levels scored higher in most MTQ48 subscales. Individuals who fulfilled current physical activity recommendations also reported elevated mental toughness scores compared to those who did not. Acquiring a mindset of mental toughness might be one way that physical activity and exercise can impact an individuals' mental health. Longitudinal and intervention studies are needed to determine direction of causality.