Billions of people have been impacted by the COVID-19 pandemic since we initially became aware of its existence in December 2019. Studies have been done since the emergence of the COVID-19 virus to assess its effect on people (e.g., Duan & Zhu, 2020; Rubin & Wesseley, 2020). Specifically, several health organizations, including the World Health Organization (WHO), have reported their concerns about the effects on an individual's mental health (WHO, 2020) as well as one's physical health (Centers for Disease Control and Prevention [CDC], 2021).While a variety of studies have focused more on undergraduate students (e.g., Bertrand et al., 2021; Gallo, T. F. Gallo, Young, Moritz, & Akison, 2020; Meyer et al., 2020), this study is an investigation of graduate students in the United States. There has been a significant lack of research regarding graduate students (Keating, Jianmin, Pinero, & Bridges, 2005), and more importantly, a lack of research regarding COVID-19's impact on graduate student's mental health in potential relation to physical activity levels. According to previous studies, graduate students are already predisposed for having a high risk of developing mental health issues due to the nature of their educational careers (Evans, Bira, Gastelum, Weiss, & Vanderford, 2018; Fogg, 2009; Hyun, Quinn, Madon, & Lustig, 2006). Master's and doctoral students are reportedly more likely to experience higher levels of depression, anxiety, financial stress, career uncertainty, and higher workloads (Eisenberg, Gollust, Golberstein, & Hefner, 2007; Gewin, 2012; L. Wang, 2015), while also having lower levels of physical activity and exercise participation, which has now become exacerbated by many governments' stringent COVID-19 reduction measures (Barkley et al., 2020; Srivastav, Sharma, & Samual, 2021). Physical activity has been shown for decades to help reduce mental health issues and increase mental well-being (Abu-Omar, Rütten, & Lehtinen, 2004; Camacho, Roberts, Lazarus, Kaplan, & Cohen, 1991; Goodwin, 2003). In this study, the association between physical activity and mental health of graduate students was examined during the pandemic. Information regarding pre-COVID-19 and current COVID-19 levels was attained for comparison. I examined the differences in the levels of physical activity, depression, and anxiety among graduate students in the United States before (February 2020) and after the outbreak of the COVID-19 pandemic (May 2021). A second purpose of this study was to examine whether differences in physical activity levels before and during COVID-19 are associated with differences in the levels of depression and anxiety among graduate students in the U.S., after controlling several variables, specifically financial stress, alcohol use, sleep quality, and sociodemographic characteristics (e.g., age, gender, ethnicity, and education status). The following analyses were conducted in the current study: (1) paired sample t-test analysis to examine changes in levels of physical activity, depression, and anxiety before and after the outbreak of COVID-19 among graduate students in the U.S.; and (2) multiple linear regression analysis to examine whether changes in physical activity levels influenced changes in level of depression and anxiety. The participants' level of physical activity significantly decreased, and the level of depression and anxiety significantly increased in May 2021 when compared to February 2020. In addition, the mean change in moderate metabolic equivalent of task (MET) was significantly and negatively associated with the mean change in depression, after controlling for variables including financial stress, alcohol consumption, sleep quality, and sociodemographic characteristics (e.g., age, gender, ethnicity, and education status). However, no relationship was observed between the mean change in physical activity and the mean changes in depression and anxiety, except for the negative relationship between the mean change in moderate MET and the mean change in depression. Given that mental health problems can persist for several years if not treated well (Zivin et al., 2009), and that low rates of university students receive treatment after being diagnosed with mental disorders (Eisenberg, Hunt, Speer, & Zivin, 2011), it is crucial for universities to not only provide adequate treatment but also pave the way for improving environments in which students feel comfortable when seeking help. Universities should take steps to develop programs and activities which are geared towards graduate student participation and promote more moderate physical activities.