Anxiety and depressive disorders are major public health problems, and desirable changes in lifestyle, such as physical exercise, can have great potential in prevention and treatment. There is growing evidence that physically active people are at a reduced risk of developing depression, and that exercise interventions are associated with significant benefits for patients with mild to moderate forms of depression as well as in reducing anxiety. These findings have led to the proposal that exercise may serve as an alternative or a supplement to traditional forms of therapy. This paper will present a broad overview of research involving the efficacy of exercise as means to prevent and treat depression and anxiety, and related issues regarding dosage and compliance. Finally, exercise will be discussed in the frame of cognitive-behavioural theory.