Background: Chronic post-surgical pain is a condition persisting for not less than 3 months after surgical intervention. It is evaluated that 25–60% of women who underwent breast cancer excision suffer from post-mastectomy pain syndrome, and anxiety, depression, sleep disturbance, and catastrophizing. Physical activity can reduce the risk of chronic diseases and has a good impact on mood and cognitive function. The aim of this study was to estimate the influence of physical activity on the intensity of pain, depression, and anxiety in women who underwent mastectomy for breast cancer removal. Methods: A prospective observational unicentric cohort study was performed. Patients were females who underwent unilateral or bilateral mastectomy. The Numerical Rating Scale (NRS) was used to measure pain intensity, Beck’s Depression Inventory (BDI) for depression, and Generalized Anxiety Disorders-7 (GAD-7) for anxiety evaluation. Physical activity was assessed by the International Physical Activity Questionnaire (IPAQ). Interleukin (IL)-17, IL-1β, cortisol, adrenocorticotropic hormone (ACTH), and brain-derived neurotrophic factor (BDNF) were also evaluated in the blood of patients. All evaluations were assessed 3 and 6 months after the surgery. Results: Adequate physical activity reduced the intensity of pain, depression, and anxiety symptoms in women affected by post-mastectomy pain syndrome. Moreover, adequately active women showed a reduction in biomarkers of inflammation, cortisol, ACTH, and an increase of BDNF. Conclusions: Our results suggest that physical activity can improve the quality of life, reduce the intensity of pain and inflammatory markers, and be useful in the reduction of associated anxiety and depression.