Psychological distress among adolescents adversely affects their development and negatively impacts them later in life. The aim of the present study was to determine whether an association exists between physical exercise and psychological distress and to explore the roles of problematic mobile phone use and learning burnout with respect to this association. A total of 2077 Chinese adolescents were evaluated by using the Physical Exercise Questionnaire, the Self-rating Questionnaire for Adolescent Problematic Mobile Phone Use, the Learning Burnout Questionnaire, and the Depression Anxiety Stress Scale-21. A serial multiple mediation model was constructed using the SPSS PROCESS macro. The results showed that physical exercise was negatively associated with psychological distress in this Chinese adolescent population. Serial multiple mediation analysis revealed that problematic mobile phone use and learning burnout both independently and serially mediated the association between physical exercise and psychological distress. These findings provide evidence suggesting that increased attention should be given to problematic mobile phone use and learning burnout when establishing and implementing specific strategies that leverage greater participation in physical exercise to decrease psychological distress in adolescents.