While recognition of the link between physical activity and mental health dates back nearly two millennia, the academic study of physical activity is a relatively young discipline emerging over the last 50 years. This chapter provides an overview of key terms and measurement techniques in physical activity, exercise, and mental health research. The most common study designs in physical activity research include cross-sectional, cohort, randomized controlled trials, systematic reviews, and meta-analytic studies. Examples from the literature as well as the advantages and disadvantages of various methodological approaches are discussed throughout the chapter in the context of mental health research.