This cross-sectional study investigated whether physical activity, social cohesion, and loneliness mediate the association between time spent visiting green spaces and perceived mental health and vitality. Questionnaire data were collected from 3,948 residents from 124 neighborhoods across four European cities. Multilevel linear regression analysis revealed positive, but weak, associations between time spent visiting green space and Medical Outcome Study Short Form (SF-36) mental health and vitality score, which suggest small mental health benefits. Single mediation analyses showed that different indicators of physical activity (total, during leisure time, and walking during leisure time), social cohesion, and loneliness were mediators. Multiple mediation analyses showed that physical activity during leisure time and loneliness may explain about 25% of the relationship. The unmediated part of the association suggests that other mediators may explain the association.