Blue spaces (BS) are increasingly recognized for their potential to support mental health and well-being, yet the specific role of physical activity (PA) within these environments remains underexplored. This narrative review aimed to synthesize empirical evidence on the relationship between different types and intensities of PA in BS and mental health outcomes. Twenty studies published since 2010 were included, selected based on validated psychological measures and clearly reported PA types. Literature research in PubMed, Web of Science, and Scopus was conducted, and methodological quality was assessed using the Effective Public Health Practice Project (EPHPP) tool. Data extraction captured study characteristics, PA type and intensity (categorized according to the 2024 Compendium of Physical Activities, where no direct measurements were taken), and mental health outcomes. The results indicate that PA in BS is generally associated with improved psychological well-being. Light-intensity activities showed consistent positive effects on restorative and affective outcomes, while moderate- to vigorous intensity activities demonstrated variable results. Mechanisms underlying these benefits appear multifactorial, including neurobiological responses, social interactions, and cultural attachment to water. These findings underscore the contribution of both the type and intensity of PA in BS to mental health outcomes.