The present study is one of the first attempts to examine the connection of physical activity with the mental health of people that care for family members with mental illness. Caregiving is a load with negative effects on well-being but caring for a family member with mental illness results to a higher psychological burden, due to other factors involved (i.e. stigma). Physical activity and exercise have been found to be variables that lead to better quality of life for caregivers in many chronic illnesses. The participants of the study were 300 caregivers of patients with mental illness - family members (96 men, 204 women) of a mean age 60.64 (+/- 10.08) years old. They were administered the Leisure Time Physical Activity questionnaire and according to their responses, they were divided in two groups: physically active and sedentary. Mental health was assessed using the DASS 21 questionnaire, with three subscales: depression, anxiety and stress. According to the results of the one-way MANOVA, physically active caregivers had a better score than their sedentary counterparts on all three DASS 21 subscales: anxiety (p < .001), stress (p < .01), depressive symptoms (p <.001). According to the results, physical activity and exercise of even low intensity, seems to play an important role on caregivers' mental health by leading to reduced stress, anxiety and depressive symptoms. Although more research is needed in this area, it seems that physical activity interventions should be considered as an additional type of support offered to caregivers of mental ill patients.