As mental health issues become more prevalent, there is growing evidence that physical activity is associated with a lower risk of developing mental illness. Exercise can provide significant psychological benefits throughout a person’s life. These intense and enjoyable opportunities help build self-esteem and perseverance while developing important skills and increasing a person’s happiness. Physical activity strongly connects with mental and physical health, but research on mental health and physical activity is limited. And happiness is an important indicator of mental health. Therefore, the main purpose of this article is to explore the link between physical activity and happiness. We analyzed Eurobarometer 58.2 survey (from categorical to dichotomized) and physical activity data collected by IPAQ-short (i.e. walking, moderate, vigorous) and four domain-specific physical activities (i.e. domestic, leisure, transport, vocation). For examining the association between well-being and physical activity, logistic regression was applied to adjust for gender, age, country, general health status, relationship status, employment, and education. The results show that there is a positive association between physical activity volume and happiness. The odds ratios of highly active, sufficiently active, and insufficiently active are 1.52[1.28–1.80], 1.29[1.11–1.49], and 1.20[1.03–1.39]. Also, there is a small positive association between physical activity intensity and happiness. The odds ratios of walking, moderate-intensity physical activity, and vigorous-intensity physical are 1.02[1.00–1.03], 1.01[0.99–1.03], and 1.03[1.01–1.05]. Moreover, there’s also a positive association between domain specific and happiness. The odds ratios of domestic physical activity, vocational, physical activity and leisure physical activity are 1.42[1.20–1.68], 1.33[1.08–1.64], and 1.05[1.02–1.30], but there are no significant associations for the transport domain. Increasing the physical activity volume can positively affect happiness, and the intensity of physical activity and the physical activity domain also has a relationship with happiness. Thus, mental health can be improved by physical activity.