The mental health benefits of physical activity may relate more to the context of the behavior, rather than the behavior of being active itself. The association between varsity sport (VS) participation, depression, and anxiety symptoms was explored using data from 70,449 high school students from the Cannabis use, Obesity, Mental health, Physical activity, Alcohol use, Smoking, and Sedentary behavior study. The model adjusted for potential covariates; interactions by sex and participation in outside of school sport (OSS) were explored. Overall, 70% and 24% of respondents met or exceeded cutoff values for depression and anxiety, respectively. Students participating in VS had lower symptoms of anxiety and depression compared with nonparticipants. Results were consistent regardless of OSS participation; associations were strongest among students who participated in both VS and OSS and males. Participation in VS may prove beneficial for the prevention and/or management of depression or anxiety symptoms, particularly among males. An additive beneficial effect of OSS on depression and anxiety scores may exist.