BACKGROUND: A body of evidence shows that both physical activity and exposure to nature are connected to improved general and mental health. Experimental studies have consistently found short term positive effects of physical activity in nature compared with built environments. This study explores whether these benefits are also evident in everyday life, perceived over repeated contact with nature. The topic is important from the perspectives of city planning, individual well-being, and public health. METHODS: National survey data (n = 2,070) from Finland was analysed using structural regression analyses. Perceived general health, emotional well-being, and sleep quality were regressed on the weekly frequency of physical activity indoors, outdoors in built environments, and in nature. Socioeconomic factors and other plausible confounders were controlled for. RESULTS: Emotional well-being showed the most consistent positive connection to physical activity in nature, whereas general health was positively associated with physical activity in both built and natural outdoor settings. Better sleep quality was weakly connected to frequent physical activity in nature, but the connection was outweighed by other factors. CONCLUSION: The results indicate that nature provides an added value to the known benefits of physical activity. Repeated exercise in nature is, in particular, connected to better emotional well-being