This report provides an overview of the effectiveness of objectively measured physical activity, sports participation, and outdoor play on outcomes related to mental health and social skills in children and adolescents. Findings based on observation studies of longitudinal and cross-sectional design are inconsistent. On the other hand, several intervention studies with high intensity exercise programs indicated that intensity and amount of physical activity might provide a short-term benefit against depressive symptoms and anxiety. However, there are reports that psychosocial approaches confer effects similar to exercise programs. The effects of participation in organized sports clubs on mental health conditions such as depression, anxiety, self-esteem, self-efficacy, health-related quality of life, social skills (e.g., relationship skills), and coping ability were diverse. Notably, there could be unfavorable relationships in athletes exhibiting a higher performance. Meanwhile, participation in sports could represent a predictor of escalation in alcohol use as evidenced by longitudinal observation studies in adolescent, although there could also be effectiveness in terms of preventing use of illicit drugs. Lastly, active outdoor play under natural conditions without supervision also represented an effective approach to promote mental health (e.g., reducing depressive symptoms and building social skills such as self-regulation and coping skills in the face of difficult human relationships). We recognize that not only sports participation but also outdoor play under abundant nature environment could represent a significant physical activity to maintain mental and social health from childhood to adolescence.