(1) Background: The relationship between physical activity (PA) and mental health remains a topic of significant interest, particularly in populations recovering from COVID-19. This study aimed to examine the differences in PA levels and mental health parameters (anxiety, depression, and stress) across sex and age groups following COVID-19 recovery; (2) Methods: The sample of participants ( = 288) was selected using a random sampling method and consisted of participants of different ages and both sexes. Participants' self-reported PA was assessed using the International Physical Activity Questionnaire (IPAQ), while the Depression, Anxiety, and Stress Scale (DASS) was used to measure negative emotional states. The influence of COVID-19 recovery on PA and mental health (depression, anxiety, stress) was analyzed using MANOVA and follow-up univariate tests by age and sex. Statistical significance was set at < 0.05, with SPSS (v23.0) used for data analysis; (3) Results: A statistically significant difference was observed between the initial and final measurements in PA levels (Wilk's Lambda = 0.95; = 0.000) and mental health (Wilk's Lambda = 0.96; = 0.000) with older individuals-particularly women-demonstrating improved PA levels and better mental health outcomes. In contrast, younger women exhibited a decline in both domains, with increased anxiety, depression, and stress symptoms. While younger men showed increased PA, their mental health parameters were slightly elevated, though still within normal ranges; (4) Conclusions: Our findings suggest that older individuals were better adapted to post-COVID challenges due to maturity and life experience, while younger populations may require additional support. The study underscored the complexity of the PA-mental health relationship and highlighted the need for further research, particularly among younger individuals recovering from COVID-19.