Good mental health is imperative to well-being. Symptoms of fatigue, chronic pain and poor sleep are common in people with mental illness and contribute to substantial loss of functioning. Physical exercise interventions have shown to decrease these symptoms in a range of populations; however, their possible association with physical activity related to day-to-day functioning have not been explored in people hospitalized with severe mental illness. Inpatients (n = 4) of a metropolitan mental health facility were fitted with an Actiwatch, which collected physical activity and sleep measures for an anticipated 14-day data collection period. During this time, morning and evening pain and fatigue scores were collected on an 11-point numerical rating scale. Significant associations were found between morning pain and morning fatigue scores (β = −0.44, P = 0.023), morning pain and physical activity (β = 12.34, P = 0.042), and physical activity and evening pain scores (β = 0.20, P = 0.017). Fatigue tended towards interfering more with quality of life than did pain, but this was not significant (P = 0.07). This study provided preliminary data suggesting associations between pain and fatigue, and intensity of pain and physical activity levels. This information can be used to generate hypotheses for future clinical trials.