As we all know, the rich and splendid world culture contains a series of cultures of "life lies in sports". The thinker Voltaire once put forward the world-famous sports philosophy of "life in sports". Without a healthy body, nothing will go smoothly and successfully. Adolescents are the hope and future of the country, so it is necessary to cultivate the correct belief in physical health and develop good habits of physical exercise. Physical exercise has a positive intervention effect on improving the mental health of adolescents, but there has been debate on the effect of physical exercise time on mental health. This paper specifically uses the multi-layer linear model analysis method to analyze the impact of physical exercise on the mental health of adolescents, and uses the KHB mediation effect model to test the existing mediation mechanism with the construction of the structural equation. The experimental results show that the direct efficiency of adolescents' mental health level is 0.009, the indirect effect is 0.034, and the contribution rate of the indirect effect is 89%. Compared with other models, it shows that the model has a certain theoretical level and use value