Psychological distress is highly prevalent and associated with significant adverse health outcomes and economic burden. Mastery and physical activity are potential resources to reduce distress and promote wellbeing; however, previous research has not examined their potential interactive relationship over time. The purpose of this study was to explore associations between mastery, physical activity, and distress in mid-aged adults over nine years. Data from a longitudinal mail survey study including the Kessler 6, Pearlin Mastery Scale, and items assessing time spent in physical activity were examined in a sample of 4404 adults aged 40 to 54 years at baseline. Group-Based Trajectory Models identified two distinct trajectories of psychological distress (elevated and low). Generalized Estimating Equations were used to assess mastery and physical activity, adjusting for sociodemographic and health variables, as predictors for the probability of distress group membership. The odds of elevated distress over time were significantly reduced in people with higher mastery (OR = 0.13; 95% 0.11–0.15) and doing at least 150 min/week of physical activity (OR = 0.81; 95% 0.68–0.96). There was no significant interaction between mastery and physical activity. Mastery and physical activity may be important resources to mitigate distress and further research is needed to evaluate interventions promoting these resources and the impact on mid-aged adults experiencing psychological distress.