Anxiety and depression are the most frequently diagnosed psychological diseases showing a high co-morbidity. They have a severe impact on the lives of the persons concerned. Many meta-analytical studies suggested a positive anxiolytic and depression-reducing effect of exercise programs. The aim of the present article is to synthesize metaanalyses on the effects of exercise on anxiety and depression and to describe average effect sizes. For this purpose 37 meta-analyses were included reporting 50 effect sizes for anxiety scores of 42,264 participants and depression scores of 48,207 persons. The average documented anxiolytic effect of exercise in these reviews was small, 0.34. In contrast, the effect of exercise on depression was significantly higher and at a moderate level, 0.56. Data of randomized controlled trials suggest higher sizes for the effect of exercise on anxiety and depression leading to increases up to moderate and large effects, respectively. Additionally, exercise seems to be more beneficial for patients compared to participants within a non-clinical, normal range of psychological disease. Especially for the effect of exercise on anxiety, more high quality meta-analyses of randomized controlled trials are needed. Finally, possible neurobiological explanations are suggested for the positive effect of exercise on psychological disorders like anxiety and depression.