Several epidemiological studies have shown that exercise (EX) and physical activity (PA) can prevent or delay the onset of different mental disorders, and have therapeutic benefits when used as sole or adjunct treatment in mental disorders. This review summarizes studies that used EX interventions in patients with anxiety, affective, eating, and substance use disorders, as well as schizophrenia and dementia/mild cognitive impairment. Despite several decades of clinical evidence with EX interventions, controlled studies are sparse in most disorder groups. Preliminary evidence suggests that PA/EX can induce improvements in physical, subjective and disorder-specific clinical outcomes. Potential mechanisms of action are discussed, as well as implications for psychiatric research and practice.