The Coronavirus disease-2019 (COVID-19) pandemic has affected over 200 countries, forcing governments to impose lockdowns to contain the spread of the disease. Although effective in reducing infection rates, the lockdowns have also resulted in a severe negative impact on mental health throughout the world; Setting the foundation for mental illnesses to become the next "silent" pandemic. This study attempts to determine a self-care method of ensuring mental health during the COVID-19 pandemic, especially for those living under lockdown. We evaluated the potential of physical exercise (in a nature setting) and nature therapy in improving mental wellbeing, among young adults with either stress, anxiety or depression symptoms. The study involved thirty subjects, who were equally divided into a nature-exercise group and a nature therapy group. The participants were briefed on the activities that they were to perform on a daily basis, and both groups performed their assigned activities concurrently for one week (27th April 2020 to 3rd May 2020) at urban greeneries accessible to them (rooftop parks, neighbourhood parks, home gardens). We used the depression, anxiety and stress scale - 21 items (DASS-21) to evaluate the mental health status of participants, once before beginning the study (baseline readings) and once at the end of the study (after a week of nature-exercise/nature therapy). There was a statistically significant reduction in stress, anxiety and depression symptoms for both the nature-exercise and nature therapy groups. However, when evaluating the effectiveness of exercise and nature therapy in treating stress, anxiety and depression symptoms on a case-by-case basis, it was discovered that nature therapy was more effective in treating mental health issues. Hence, nature therapy has the potential to be a form of preventive medicine, namely in preserving mental health during the COVID-19 crisis.