This article reviews the studies on the effects of physical activity on the emotional states--anxiety, depression and mood. The meta-analyses of correlational and experimental studies reveal positive effects of exercise, in healthy people and in clinical populations (also in patients with emotional disorders) regardless of gender and age. The benefits are significant especially in subjects with an elevated level of anxiety and depression because of more room for possible change. The most improvements are caused by rhythmic, aerobic exercises, using of large muscle groups (jogging, swimming, cycling, walking), of moderate and low intensity. They should be conducted for 15 to 30 minutes and performed a minimum of three times a week in programs of 10-weeks or longer. The results confirm the acute effect of exercise i.e. the reductions in anxiety and depression after single sessions of exercise. The changes in anxiety, depression and mood states after exercise are explained most frequently by the endorphin and monoamine hypotheses. Exercise may also increase body temperature, blood circulation in the brain and impact on hypothalamic-pituitary-adrenal axis and physiological reactivity to stress. The possible psychological mechanisms include improvement of self-efficacy, distraction and cognitive dissonance.