Objective: The primary aim of this study was to investigate the association between physical activity (PA) and sitting time on adults’ mental health (i.e., depression, anxiety and wellbeing) and the influence of mediators and confounders. Methods: An online survey was disseminated in the UK between May and June 2020. A total of 284 participants (33.5 ± 12.4 years) self-reported their PA, sitting time and mental health through validated questionnaires. Results: Multiple stepwise regression analysis revealed that being of younger age, female, on a lower income, with one or more comorbid health conditions, with a previous diagnosis of mood disorder and increased sitting time independently correlated with higher depression scores (F (13,219) = 12.31, p < 0.001), and explained 42% of the variance. Similar results were found for wellbeing where socio-demographic, health outcomes and sitting time influenced the subjective wellbeing (F (14,218) = 5.77, p < 0.001, 27% variance), although only socio-demographic and health outcomes contributed to the variation in anxiety score (F (13,219) = 7.84, p < 0.001, 32% variance). PA did not explain variation when sitting time was taken into account in any of the models. Combined analysis revealed that participants with lower sedentary time (< 8 h) and with both low or moderate and high PA presented a significantly lower depression score [low PA: (B = −2.7, 95% CI −4.88, −0.52); moderate and high PA (B = −2.7, −4.88, −0.52)]. Conclusion: Sitting time was strongly associated with adverse mental health during COVID-19 lockdown and should be considered in future public health recommendations.