Yes, I am a great believer that setting and achieving tough physical challenges can do wonders for your mental toughness. A marathon for example is well within the physical capabilities of most people, but many have not got the mental toughness to see the training through - getting up at 5.00am and heading out in the rain and dark of November is pure mental toughness. When tackling a modest mountain like Snowden or Scafell Pike in foul weather conditions it is primarily mental toughness that keeps you going when hail is lashing your face and all you want to do is go home and throw some logs on the wood-burner. You can build that mental toughness though just as you can your leg muscles.
I agree with the physical and mental connection. I use a kettlebell daily because of the combination of cardio and resistance training. Pavel's Enter the Kettlebell is a great source of inspiration for toughness.
