Purpose: Physical activity can prevent diseases. This study is the first of its kind that explores the influences of mental health, demographic and lifestyle factors on physical activity among ethnic minority school-going adolescents. The country of interest is Malaysia, which is a fast-growing developing country. Methods: Data were extracted from the National Health and Morbidity Survey (NHMS) 2017. Students aged 13–17 years were surveyed. Probit regressions were utilised to estimate the probability of being physically active. Analyses were stratified by ethnic minority groups. Results: Stress was positively associated with physical activity among Indian students, but pairwise correlation tests showed that this association was insignificant. Depression reduced the probability of being physically active among Sabah native students. Form 1 and 2 Sabah and Sarawak native students were less likely to be physically active than their Form 5 peers. The probability of being physically active was greater among males of all the ethnic groups. Among Indians, while smoking reduced the probability of being physically active, alcohol drinking was associated with frequent participation in physical activity. Conclusions: Mental health, demographic and lifestyle factors play an important role in determining level of physical activity among ethnic minorities. Intervention measures targeting ethnic minority students could benefit by taking into consideration these factors. [ABSTRACT FROM AUTHOR]