This qualitative study combines methods from grounded theory and ethnography, exploring members' experience of a mental health day service walking group, with regards psychological benefits of the physical activity, the outdoor environment and the social setting. Data were collected via participant observation, interviews and a group discussion, and analysed using a grounded theory approach. An overall model, the Healing Balm Effect, brings together seven categories, which describe healing properties of the experience. The categories are: Closer to What is More Natural; Feeling Safe; Being Part; Striving; Getting Away; Being Me; Finding Meaning. Clinical relevance and methodological issues are discussed.