The aim of this study is to evaluate the relationship between resilience and mental health in older adults and how physical activity influences that relationship. A cross-sectional study was carried out with 312 older adults (179 active and 133 sedentary classified by IPAQ). Considering the whole sample, an inverse relationship was found for resilience (Wagnild–Young’s Resilience Scale) with depression and stress (DASS-21). Among the sedentary, in spite of there not being an association between total resilience and mental health, there was an inverse relationship for the “meaning of life” component of the resilience and depression scale. For the active group, there was a relationship between total resilience and its components with depression and stress, but not for the “meaning of life” component of the resilience scale. Physical activity played an important role in the relationship between resilience and depression, showing that active and sedentary people use different components of resilience.