Affective and non-affective psychoses are severe and frequent psychiatric disorders. Amongst others, they not only have a profound impact on affected individuals through their symptomatology, but also regarding cognition, brain structure and function. Cognitive impairment influences patients' quality of life as well as their ability to work and being employed. While exercise therapy has been implemented in the treatment of psychiatric conditions since the days of Kraepelin and Bleuler, the underlying mechanisms have never been systematically studied. Since the early 1990s, studies emerged examining the effect of physical exercise in animal models, revealing stimulation of neurogenesis, synaptogenesis and neurotransmission. Based on that body of work, clinical studies have been carried out in both healthy humans and in patient populations. These studies differ with regard to homogenous study samples, sample size, type and duration of exercise, outcome variables and measurement techniques. Based on their review, we draw conclusions regarding recommendations for future research strategies showing that modern therapeutic approaches should include physical exercise as part of a multimodal intervention programme to improve psychopathology and cognitive symptoms in schizophrenia and affective disorders.