Objective: To examine the association of physical activity with cognitive function and mental health among primary school students based on latent subgroup identification and dose response modeling, and to clarify cognitive-psychological profiles and the protective role of physical exercise, so as to provide evidence based support for physical exercise promoting mental health among primary school students. Methods: A study was conducted among 546 primary school students aged 8-12 years old from a primary school in Shanghai from March to June 2025. Physical fitness indicators, including vital capacity, 50 m sprint, sit and reach, and 1 min rope skipping were measured. Physical exercise was assessed by using the Physical Activity Rating Scale-3 (PARS-3), and mental health was assessed by using the Revised Child Anxiety and Depression Scale, 47-item version (RCADS-47). Cognitive function was assessed by using Stroop, N-back, and task-switching tasks. Latent profile analysis (LPA) was performed for cognitive-psychological health of primary school students based on seven cognitive indicators and six psychological indicators. Multivariable Logistic regression, trend test, and restricted cubic spline (RCS) analysis were used to examine associations between physical exercise and psychological highrisk status. Results: Five cognitive psychological health subgroups were identified:high symptom and impaired cognition group ( n =40, 7.3%), low cognition and low symptom group ( n =108, 19.8% ), and high cognition and high symptom group ( n =110, 20.2%), cognitive advantage and psychologically healthy group ( n = 272, 49.8%), and extremely high symptom and cognitively vulnerable group ( n =16, 2.9%). Among them, the high symptom and impaired-cognition group and extremely high symptom and cognitively vulnerable group were classified as psychologically high risk types. Significant differences were observed across subgroups in psychological symptoms, cognitive function, some physical fitness indicators and physical exercise level, except for body weight, body mass index, and sit and reach ( F =2.64-297.53, all P < 0.05). The results of the multivariate Logistic regression analysis indicated that high level sports, including high total volume of physical exercise, single session duration >30 min, high intensity, and frequency ≥3 times/week, was associated with lower psychological high risk status ( OR =0.20, 0.36, 0.33, 0.40, all P <0.05). Trend analysis showed that total volume of physical exercise and single session exercise duration were negatively associated with psychological high risk status among primary school students ( OR =0.98, 0.79, both P trend <0.05). RCS analysis showed no statistically significant overall or nonlinear association between total volume of physical exercise and psychological high risk status ( χ 2=2.92, 0.01, both P >0.05). Conclusions Cognitive-psychological health among primary school students is heterogeneous. Physical exercise is associated with psychological health improvement and may show a threshold effect, with total volume of physical exercise and single session exercise duration being the key dimensions.