Key points: The advantages of physical activity are widely recognised from both a physiological and a psychological perspective. Evidence seems to demonstrate that physical activity is associated with decreases in depression and anxiety in clinical and non-clinical populations. There are a number of physiological, biochemical and psychological explanations which should be considered to understand the psychological effects of exercise. Physical activity may be considered as an adjunct to psychotherapeutic and pharmacological treatments of depression and anxiety. Physical activity appears to be a non-specific form of treatment with psychotherapeutic potential that should not be ignored.