The purpose of this study was to investigate the relationship between self-perceived health and physical activity on the mental health of cancer survivors using the 2014, 2016, 2018, 2020 National Health and Nutrition Examination Survey (NHANES) data. The study included 378 participants aged 19 years or older who had been diagnosed with cancer, selected from the participants of the 2014, 2016, 2018, 2020 National Health and Nutrition Examination Survey. Our questions included self-perceived health status, physical activity (aerobic exercise, muscle strengthening exercise, walking and sedentary time), and mental health (depression, stress). The statistical analysis was performed using SAS 9.4 (SAS Institute Inc, Cary, NC, USA), and a complex sample analysis was performed using weights according to the KNHANES raw data usage guidelines from the Korea Centers for Disease Control and Prevention. The results of the data analyses showed that cancer survivors with self-perceived good health showed eight times lower levels of stress and five times lower levels of depression. In addition, the stress of cancer survivors with self-perceived good health was measured as about two times lower during the walking exercise. The depression index was measured as lower in the case of the walking exercise than in the case of the non-walking exercise. In conclusion, to manage depression and stress in cancer survivors, it is recommended to regularly monitor their subjective health condition, encourage positive evaluations of their health, and suggest continued participation in activities such as walking.