Physical activity has a preventive and an acute effect on both depression and anxiety syndromes. The effect of just physical activity, usually 3 times/week for 8-12 weeks, is equal to treatment with psychotherapy or antidepressants for mild to moderate depression, according to several meta-analyses. Addition of physical exercise to psychotherapy has a significantly greater effect than psychotherapy alone. Few high-quality studies on anxiety syndromes have been performed regarding the treatment effect of physical activity. In anxiety syndromes, physical activity for 10-12 weeks has a better effect than no treatment. Yet, psychotherapy or pharmacological treatment has a better effect than physical exercise in panic disorder. The article describes a variety of positive physiological, neurobiological and psychological mechanisms of physical activity.