Multiple sclerosis (MS) patients, in general, show reduced physical function, physical activity, and quality of life. Positive associations between physical activity and quality of life have been reported. In particular, we were interested in the relation between physical activity and mental health in MS patients without limitation of physical function, since limitations of physical function may influence both physical activity and quality of life. Assessment comprised the Baecke questionnaire on physical activity, the Short Form 36 Health Survey (SF-36), and Beck Depression Inventory (BDI). We ranked our sample according to physical activity into four groups and performed an ANOVA to analyze the relationship between levels of physical activity and health-related quality of life (HRQoL). Then we performed a subgroup analysis and included patients with unlimited walking distance and a score of less than 18 in the BDI. Most active vs. inactive patients were compared for the mental subscales of the SF-36 and depression scores. From 632 patients, 265 met inclusion criteria and hence quartiles were filled with 67 patients each. Active and inactive patients did not differ considerably in physical function. In contrast, mental subscales of the SF-36 were higher in active patients. Remarkable and significant differences were found regarding vitality, general health perception, social functioning and mental health, all in favor of physically active patients. Our study showed that higher physical activity is still associated with higher mental health scores even if limitations of physical function are accounted for. Therefore, we believe that physical activity and exercise have considerable health benefits for MS patients.