Sports participation has been linked to various health outcomes; however, there is scant literature exploring this relationship in developing countries. We used a mixed method approach to examine the association between sports participation and mental health of Bangladeshi adolescents (n = 320; 13–17 years; 59% boys) and to explore sports preferences and barriers to sports participation across genders. A survey collected team and non-team sports participation, depression, and life satisfaction. Focus groups (16 boys, 16 girls) explored preferences for, and barriers to, sports participation. Regression analysis showed that higher team and non-team sports participation were associated with lower depressive symptoms in boys (β = −1.22, 95% CI:−2.55 to −0.10; β = −2.50, 95% CI:−3.83 to −1.16, respectively), while greater participation in team sports was associated with less depression in girls (β = −2.44, 95% CI:−4.63 to −0.24). Participation in team and non-team sports was positively associated with life satisfaction for boys and girls. Boys reported preferences for playing football and cricket, while girls favored skipping and running. Prolonged time on electronic devices was reported as barriers to sports participation in both genders. Furthermore, household chores, family restrictions, and unsafe environment were reported by girls. Participation in team sports may provide mental health benefits for both genders, while non-team sports may be more beneficial to boys than girls.