Purpose: To explore the association between histories of common mental disorders, delusional-like experiences, and recent physical activity using a large nationally representative population-based sample from Australia. We predicted that a past history of a common mental disorder or delusional-like experiences would be associated with insufficient physical activity. Methods: The study was based on the Australian National Survey of Mental Health and Wellbeing 2007 (n = 8841). The Composite International Diagnostic Interview was used to identify a lifetime and past year history of common mental disorders and delusional-like experiences. Physical activity over the preceding week was estimated using the questions based on the Active Australia survey with respondents classified as (a) insufficiently physically active versus (b) sufficiently physically active based on national recommendations. We examined the relationship between the variables of interest using logistic regression, adjusting for potential confounding factors. Results: Almost half of the participants (46.0%) were classified as sufficiently physically active. Compared to those with no past mental disorder, those with lifetime or past year history of common mental disorders did not differ on recent physical activity status. Furthermore, we found no significant association between the number of lifetime mental disorders or the presence of delusional-like experience and recent physical activity status. Conclusions: Our findings suggest that a diagnosis of common mental disorder, with or without recent symptoms and comorbid diagnoses, or even having self-ascribed perception of poor mental well-being, is not associated with insufficient physical activity.