Until recently, claims for the psychological benefits of physical exercise have tended to precede supportive evidence. Acutely, emotional effects of exercise remain confusing, both positive and negative effects being reported. Results of cross-sectional and longitudinal studies are more consistent in indicating that aerobic exercise training has antidepressant and anxiolytic effects and protects against harmful consequences of stress. Details of each of these effects remain unclear. Antidepressant and anxiolytic effects have been demonstrated most clearly in subclinical disorder, and clinical applications remain to be exploited. Cross-sectional studies link exercise habits to protection from harmful effects of stress on physical and mental health, but causality is not clear. Nevertheless, the pattern of evidence suggests the theory that exercise training recruits a process which confers enduring resilience to stress. This view allows the effects of exercise to be understood in terms of existing psychobiological knowledge, and it can thereby provide the theoretical base that is needed to guide future research in this area. Clinically, exercise training continues to offer clinical psychologists a vehicle for nonspecific therapeutic social and psychological processes. It also offers a specific psychological treatment that may be particularly effective for patients for whom more conventional psychological interventions are less acceptable.