Background Psychosocial problems negatively affect school performance, social skills and mental development. In recent years, researchers have investigated the relationship between physical activity and psychological health. With this large school-based study, we examined whether physically inactive adolescents and slightly active adolescents experience more psychosocial problems compared with active adolescents. Methods This study is based on the Dutch National Youth Health Monitor. This monitor uses a, school-based, cross-sectional questionnaire conducted among 96 617 adolescents in 2015. To examine the association between physical exercise and psychosocial problems, multi-level linear regression was carried out. Results The weighted average Strengths and Difficulties Questionnaire score of active adolescents was lower than that of inactive adolescents. Adolescents who are inactive had 12% (β = 1.12; 95% CI: 1.10-1.14; P <0.001) more psychosocial problems compared with active adolescents. Further, inactive adolescents had a higher score on the subscales emotional problems (β = 1.19; 95% CI: 1.17 - 1.22; P < 0.001) and problems with peers (β = 1.16; 95% CI: 1.14 - 1.19; P < 0.001). There was no statistical significant difference in total score of the Strengths and Difficulties Questionnaire between active and slightly active adolescents. Conclusion Physically active adolescents have fewer psychosocial problems compared with physically inactive adolescents. Not only is this association significant, but there is an indication that it is also of clinical relevance.