The association between physical activity in achieving mental health benefits and subjective well-being is consistently identified by empirical research. The causation of a positive self-concept created by physical exercise is empirically supported by Sonstroem and Morgan’s (1988) exercise and self-esteem model (EXSEM). However, various drawbacks of maintaining high self-esteem have been identified; thus, the concept of self-compassion was conjectured to be a form of “true self-esteem.” Hence, the current study aimed to investigate the relationship between physical activity and self-compassion by examining the exercise and self-esteem model revised with self-compassion (EXSEM-SC). This study recruited secondary school students from Hong Kong using convenience sampling. The structural equation modeling (SEM) approach, including path analysis and multiple indicators, multiple causes (MIMIC) modeling, were used to reveal the results of the study. The results (n = 1097) indicated that the relationship between physical activity and self-compassion could be demonstrated by the EXSEM-SC, with a satisfactory goodness-of-fit index in the SEMs. The SEM also demonstrated the direct paths from physical activity to self-compassion and mental well-being, indicating the significant effect of physical activity on self-compassion. Copyright © 2021 by the authors. Licensee MDPI, Basel, Switzerland.