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Perceived social support (PSS) and physical activity (PA) could help to reduce psychological distress in people with depression. This study aims to analyse the associations between (a) mental health and its dimensions through the Goldberg General Health Questionnaire (GHQ-12), (b) the PA level (PAL), and c) the PSS in the Spanish adult population with psychological distress. This cross-sectional study is based on Spanish National Health Survey 2017 data, including 1670 adults with depression. A descriptive analysis was performed. Differences in medians between sexes were analysed using the Mann–Whitney U test. The Chi-square test was used to assess the independence between sex and PAL. The Kruskal–Wallis’ test was performed to analyse possible baseline differences between PAL and continuous variables derived from the GHQ-12. Finally, a correlation study was conducted between the generated variables and the GHQ-12 items, together with the PAL and the Duke-UNC-11, using Spearman’s rho correlation coefficients. Weak inverse correlations were found between the GHQ-12 and PAL (rho: −0.214); and PSS (r: −0.286). PAL and PSS showed weak inverse correlations with successful coping (rho: −0.216 and r: −0.265), self-esteem (rho: −0.209 and r: −0.283), and stress (rho: −0.130 and r: −0.232). Thus, higher PAL and SSP is associated with lower psychological distress.