Restricted outdoor activities and online learning during COVID-19 pandemic may pose threats on the physical and mental health of Chinese adolescents in middle schools. The study was to explore the relationship of Physical Activity (PA) and Sedentary Time (SED) with mood states among Chinese adolescents during the pandemic. A total of 4898 adolescents (16.3 ± 1.3 years old) from 49 middle schools in 13 urban and rural areas in Yan'an, China volunteered to participate in this study and completed online questionnaires. International Physical Activity Questionnaire (IPAQ) were used to measure PA and SED, and Profile of Mood States were used to evaluate mood states. We used Mann-Whitney U-test and Kruskal-Wallis test to assess differences in PA and SED in different sex and grade group, respectively. Mixed linear regression was used to analyze the relationship between PA/SED and mood states. Participants in our study accumulated 23.4 ± 52.5 min of moderate-to-vigorous PA and 363.6 ± 148.4 min of SED per day. The mood states of boys were better than that of girls (p < 0.01). The mood states of the students in Senior High School Grade 3 were at the highest level of mood disturbance. Higher levels of PA were significantly associated with lower levels of total mood disturbance in this population (High PA group according to IPAQ: B = -3.22, SE = 0.40, p < 0.001; Moderate: B = -1.47, SE = 0.37, p < 0.001, compared to Low PA group). Chinese adolescents maintained a sedentary lifestyle during the COVID-19 pandemic. Girls and students in Grade 3 Senior High School had higher level of mood disturbance. More PA was associate with improving mood state among adolescents in the pandemic. The present study may assist policymakers and healthcare professionals understand PA and mood states of Chinese adolescents during the epidemic and take targeted actions in case of emergencies in future.