This study explores how weight status is related to mental health status among Massachusetts children, aged 10-17 years. We used data from the 2007 National Survey of Children's Health to examine the association between weight status (body mass index-for-age) and parent-reported mental health status among Massachusetts children (N = 827). Multivariable log binomial regression was performed to calculate the adjusted prevalence ratios (aPR) of three mental health outcomes (behavioral, emotional, and social) as related to weight status, after controlling for covariates including physical activity, sex, race/ethnicity, maternal education, poverty status, special health needs, and neighborhood safety. Almost one-third (32.5 %) of Massachusetts children were either overweight or obese. Sex was a significant effect modifier of the association between weight status and negative emotions. After stratifying by sex and controlling for covariates, the relationship between weight status and negative emotions remained significant among girls (aPR = 1.8, 95 % CI 1.3-2.6). Children who did not exercise at all were significantly more likely to exhibit negative behaviors (aPR = 1.3, 95 % CI 1.0-1.6), negative emotions (boys' aPR = 3.3, 95 % CI 1.6-6.9; girls' aPR = 2.6, 95 % CI 1.5-4.5), and fewer social skills (aPR = 1.9, 95 % CI 1.3-2.9) than those who exercised at least 20 min every day of the week. Overweight/obese children, especially girls, were more likely than children of normal weight to have parent-reported negative emotions, suggesting an association between weight status and mental health. Lower levels of physical activity were associated with negative mental health outcomes, supporting the benefits of physical activity for all children.