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Increasing evidence suggests that physical activity (PA) can reduce depression and anxiety in adolescents. At the same time, quality of life (QoL) is sensitive to both mental health and PA, but little is known about the mechanism between these three variables among adolescents. This study aimed to assess the physical activity, mental health, and quality of life of school students when they returned to school after two years of distance learning in the Jazan region. This current investigation represented an observational cross-sectional survey conducted in January 2022 among a random sample of 601 students from intermediate and high schools in the Jazan region, Saudi Arabia. Three standardized questionnaires were used for data collection; the Arabic version of the Pediatric Quality of Life Inventory (PedsQL), Depression Anxiety Stress Scales (DASS21), and the Fels PAQ for children. The analysis revealed a moderate level of physical activity, decreased HRQoL, and symptoms of mental health problems (anxiety, depression, and stress) among the schools’ students when they returned to school following COVID-19 lockdown. The overall Pediatric Quality of Life mean score was (81.4 ± 16.4), which differed significantly according to gender, age groups, and grade levels (p < 0.05 for all). There was a negative correlation between the overall quality of life and mental health domains. Sport was negatively correlated with mental illness symptoms and positively correlated (p < 0.05) with Pediatric Quality of Life. The regression models revealed that stress was a significant predictor for the quality of life of male and female adolescents ([β = −0.30, (95 …