People with severe mental ill health (SMI) are less physically active and more sedentary than the general population. There is limited research investigating the correlates of physical activity (PA) in people with SMI impeding the development of successful interventions. This study aimed to assess the factors associated with regular participation of PA among a large sample of people with SMI. The data for this study were collected from the ‘Closing the Gap: Lifestyle Health and Wellbeing’ (HWB) cohort that collected data through self-administered questionnaire from participants with SMI. Self-reported participation in regular PA was the main outcome variable. Potential predictors of PA were grouped as demographic, biological, psychological and behavioural variables. Multivariable logistic regressions were conducted considering PA participation as the dependent variable adjusted for possible correlated predictors. In total, 3287 people with SMI [mean (SD) age 47.7 (14.58) years, 59% male] were included; 38% reported undertaking regular PA and 61% wanted to undertake more physical activity. Multivariable logistic regressions showed that the following factors were associated with undertaking more regular PA: being male, aged 18–65 years, having a body mass index between 18.5 and 30 kg/m2, having better self-perceived general health condition, not having a health problem that limits activity, giving higher importance to maintain a healthy lifestyle, and eating more fruit and vegetables. Having a better self-perceived general health and placing importance on maintaining a healthy lifestyle were important predictors of regular PA. Lifestyle interventions targeting increased PA among people with SMI should be shaped by their health perception and informed by their needs.