Background: Commuting routes with natural features could promote walking or cycling for commuting. Commuting through natural environments (NE) could have mental health benefits as exposure to NE can reduce stress and improve mental health, but there is little evidence. This study evaluates the association between NE and commuting, whether active or not, and the association between commuting (through NE), whether active or not, and mental health. We also evaluate the moderating effect of NE quality on the association between NE commuting and mental health. Methods: This cross-sectional study was based on adult respondents (n = 3599) of the Positive Health Effects of the Natural Outdoor Environment in Typical Populations in Different Regions in Europe (PHENOTYPE) project. Data were collected in four European cities in Spain, the Netherlands, Lithuania and the United Kingdom. Data on commuting behavior (active commuting at least one day/week, daily NE commuting) and mental health were collected with questionnaires. Associations were estimated with multilevel analyses including random intercepts at city- and neighborhood level. Results: Adjusted multilevel analyses showed that daily NE commuters were more often active commuters (OR 1.42; 95% CI 1.19, 1.70). There was no association between active commuting and mental health, but daily NE commuters had on average a 2.74 (95% CI 1.66, 3.82) point higher mental health score than those not commuting through NE. The association with mental health was stronger among active commuters (4.03, 95% CI 2.13, 5.94) compared to non-active commuters (2.21; 95% CI 0.90, 3.51) when daily commuting through NE, but NE quality did not have a moderating effect. Conclusions: Daily NE commuting was associated with better mental health, especially for active commuters. Daily NE commuters were likely to be active commuters. Active commuting itself was not associated with mental health. These findings suggest that cities should invest in commuting routes with nature for cycling and walking.