Approximately one in three preadolescents (34%) is obese/overweight and one in four (25%) experience a mental health issue. Urban youth suffer from higher rates of these problems, and at earlier ages than their peers. This study's purpose was to determine feasibility/acceptability and preliminary effects of the COPE (Creating Opportunities for Personal Empowerment) Healthy Lifestyles TEEN (Thinking, Emotion, Exercise, and Nutrition) intervention on physical activity (PA) and mental health outcomes of 11- to 13-year-olds. A one group pre- and posttest design was used in a Midwest urban middle school. Preadolescents (n = 31) who received COPE reported significant decreases in anxiety and increases in healthy lifestyle beliefs and PA. Further, preadolescents at baseline with elevated anxiety, depression, suicide risk, and below average self-concept who received COPE reported significant increases in self-concept and decreases in anxiety, depression, and suicidal ideation. The COPE program is a promising intervention that can improve physical and mental health outcomes.