In 2016, an estimated 44.7 million U.S. adults experienced a diagnosable mental illness (National Institute of Mental Health, 2017). A number of clinical and epidemiological studies have found that leisure time physical activity (LTPA) plays a significant role in reducing symptoms of depression and anxiety. While socioeconomic status (SES) has been a focus in health research, less is known about its moderating effects on the LTPA-mental health link. Therefore, this study examined the differences in rates of mental illness among people with different levels of income, education, and LTPA. The present study further explored the moderating effects of income and educational attainment on the relationship between LTPA and mental illness. The data were obtained from the 2015 U.S. Health Information National Trends Survey (N = 3,677). The results of one-way analysis of variance indicated significant mean differences of scores on mental illness across different levels of income, education, and LTPA. Hierarchical multiple regression analyses showed that the association between LTPA and mental illness was significantly stronger in participants with low income than those with high income. Moreover, the effect of LTPA on mental illness was greater for less educated people than those with highly-educated people. Implications of these findings, as well as future research directions are discussed.