Exercise (EX) and physical activity (PA) have been shown to prevent or delay the onset of several mental disorders and to have therapeutic effects in different groups of psychiatric disorders. This review focuses on studies investigating EX as therapeutic intervention in anxiety disorders, affective disorders, eating disorders, schizophrenia, and substance use disorders. Despite EX being discussed as a potential therapy for several decades, adequately powered randomized, controlled trials are sparse in most disorder groups. Nevertheless, evidence points toward disorder-specific benefits that can be induced by EX/PA. Mechanisms of the therapeutic effects of EX/PA are summarized, including metabolic and physiological as well as psychological aspects. Finally, implications for research and therapeutic practice are illustrated.