Background: Although there is great importance of exercise in improving mental health, very little attention is paid to physical activities. In this article, we aim to analyze the role of physical activities in reducing the symptoms of mental issues like depression, anxiety, and schizophrenia. We also studied the role of physical activities in improving sleep. Methodology: For this purpose, we conducted a systematic review. The studies included were taken from online web search engines like PubMed, Google Scholar, and Medline. The vast majority of references come from research that has been published during the previous 10 years. Results: By analyzing the previous studies we assessed that physical activities play a significant role in reducing the symptoms of mental illnesses like depression, anxiety, and schizophrenia. Participation in physical activities also improves sleep quality. Conclusion: We thoroughly analyzed the previous studies to find the results but there may be some limitations associated with the study. Future studies should be based on longitudinal design so that the impact of physical exercises on mental health can be studied more satisfactorily.