Background: Adolescence is a unique stage of life accompanied by physiological and psychological modifications, along with stress, confusion, and depression. Materials and methods: The present descriptive-analytical cross-sectional research was done on 267 male adolescents who studied at high schools in Zanjan, Iran. Demographic characteristics questionnaires, a 48-item food frequency questionnaire, a short version of the International Physical Activity Questionnaire (IPAQ), the Depression Anxiety Stress Scale (DASS-21), and the Pittsburgh Sleep Quality Index (PSQI) were used to collect data. Results: The mean ± standard deviation (SD) of age, weight, height, and sitting time was 15.94 ± 0.91 years, 68.53 ± 15.28 kg, 1.75 ± 0.06 m, and 449.25 ± 322.06 min, respectively. The study results showed that students with poor sleep quality showed a higher rate of depression than those with good sleep quality in the high and low physical activity groups (p < 0.05). The stress, depression, and anxiety scores significantly correlated with sleep quality in the physical activity groups (p < 0.05). The structural equation model analysis results showed that mental health directly affected sleep quality; this association was significant in the low physical activity group. Conclusion: We found that sleep quality was independently related to mental health in young Iranian men. However, dietary intake was not a significant predictor of mental health or sleep quality. More studies are required to evaluate the association between dietary intake and sleep quality in adults.