BackgroundCOVID-19 caused severe effects on the psychological well-being of Chinese students overseas (COS). Physical activity (PA) is critical to strengthen immunity, prevent infection, and reduce the psychological burden caused by COVID-19. However, there is a severe lack of effective PA intervention for mental health in most countries, and COS have limited access to mental healthcare during the pandemic.ObjectiveWe aim to examine the effects of PA on COS’ mental health during the pandemic abroad and to better understand that certain types of PA might be associated with a greater reduction in psychological burdens during the pandemic.Methods and resultsIn a multi-country cross-sectional analysis, a questionnaire was distributed to COS living in 37 foreign countries via WeChat Subscription using a snowball sampling strategy. A total of 10,846 participants were included. Descriptive statistics and Binary logistic regression analysis were used for statistical analysis. We found that COS had negative psychology during the pandemic, especially with fear (2.90, 95% CI 2.88−2.92), anxiety (2.84, 95% CI 2.82−2.85), and stress (2.71, 95% CI 2.69−2.73). PA had meaningful effects on reducing COS self-reported mental health burdens (3.42, 95% CI 3.41–3.44) during the pandemic. The largest associations were seen for recreational and home-based PA (i.e., family games, home aerobic exercise), individual outdoor PA (i.e., walking or running, rope skipping), and PA with a duration of 30 to 70 min per session at frequencies of 4 to 6 times and a total of 150 to 330 min of moderate and vigorous intensity per week tends to be an optimal choice during social distancing times.ConclusionsCOS had several poor mental health conditions during the pandemic. The improvement of PA on COS’ psychology was positively effective during the pandemic. Specific types, intensities, durations, and frequencies of PA might have advantages over others for improving COS’ mental health during periods of public health emergencies, and the topic may merit interventional study to reveal multiple factors causing COS’ psychological burdens and enrich the PA forms for all COS’ mental health improvement (i.e., infected, recovered, and asymptomatic COS).