There is growing national and international concern about the mental health of children and young people, and in countries such as England there is now a political and policy commitment to developing whole-school approaches to mental health. This paper presents new evidence on how pupils' mental health is being addressed in schools using learning activities associated with physical education, sport and physical activity, as part of a school-based sport- and mental health-themed programme ('Tackling the Blues') for pupils aged 6-16 years old in north-west England. In particular, we examine how pupil-centred learning activities have been used in weekly multi-sport activity sessions and related classroom-based workshops, and draw upon insight from 29 focus groups to explore pupils' (n = 116) mental health awareness and associated socio-emotional learning (SEL). The learning activities led pupils to focus on the impact personal relationships with family and friends, feelings and emotions, and experiences of stress, anger and entrapment can have on mental health. It is argued that embedding socially relevant learning activities into the content, organisation and delivery of school curricula may help improve pupils' sense of enjoyment, participation and achievement which are important for enhancing their knowledge and awareness of mental health, and developing SEL. However, we conclude that the effectiveness of whole-school approaches also depends, perhaps to a greater degree, on the wider educational systems in which schools are located and especially the widening social, economic and health inequalities which have profound impacts on child development, educational and other outcomes, and mental health.