Mental health disorders are rising in Finland, with associated costs among the highest in OECD countries. These challenges correlate with lower education, income levels, and increased social exclusion. Yoga, known for promoting physical and mental well-being, is increasingly recognized for reducing psychological distress. This study compares mental health outcomes—depression, anxiety, and stress—among Ashtanga Yoga practitioners (AYP), practitioners of other yoga styles (OYS), and non-practitioners (NPY). A cross-sectional survey conducted in 2021 involved 667 Finnish adults: AYP (n = 205), OYS (n = 166), and NPY (n = 296). Snowball sampling was used to recruit participants online. Data on demographics, lifestyle, and health history were collected via questionnaires, and mental health was assessed using the Depression, Anxiety, and Stress Scale (DASS-42). One-way ANOVA and post hoc analyses revealed significant differences between groups. Non-practitioners showed higher depression, anxiety, and stress levels, alongside higher smoking and alcohol use and greater prevalence of health conditions like hypertension (15.9%) and asthma (11.8%). Yoga practitioners displayed healthier lifestyle patterns and better sleep hygiene, with OYS participants reporting the highest ideal sleep duration (85.5%). Significant differences were found in stress (p = .005) between NPY and AYP, and anxiety (p = .049) between NPY and OYS. Both anxiety (p = .002) and depression (p = .003) were significantly lower among AYP compared to NPY. Regular yoga practice is associated with improved mental health, suggesting that yoga could be a valuable component of public health strategies to enhance psychological resilience.