The aim of the study is to review the literature and synthesize the research results on the role of physical activity as a tool for strengthening mental resilience in women and its impact on the symptoms of depression and overall mental well-being. The analysis included empirical studies and reviews (systematics and meta-analyses) published between 2022 and 2025. Populations of women of different ages were included (students, perinatal, and menopausal women). The evaluation focused on exercise interventions, as well as the correlation between activity level, depression, stress, and resilience indicators. Research confirms that regular physical activity reduces the severity of depressive and anxiety symptoms and increases the level of mental resilience, sense of meaning, and self-efficacy. These effects were observed especially in women during periods of increased psychosocial burden. Resilience was found to be a key mediator in the relationship between activity and mental health, while social factors acted as moderators. The results highlight the need to include exercise programs in preventive and therapeutic interventions addressed to women at different stages of life. Future research should focus on personalizing activity programs and on the long-term biological and psychosocial mechanisms underlying resilience enhancement.