To determine whether participating in physical activity affects psychological well-being in an adolescent population, 147 adolescents completed self-reports of exercise and psychological stress and well-being. Analysis revealed that those who reported greater physical activity also reported less stress and lower levels of depression. Adolescents who experienced a higher incidence of life events also demonstrated a strong association between stress and anxiety/depression/hostility. To investigate the effects of exercise training on psychological well-being, adolescents were assigned to either high or moderate intensity aerobic training, flexibility training or a control group. The training groups met twice per week for 25-30 min. Aerobic fitness levels, heart rate, blood pressure and self-report of stress and well-being were measured prior to and following 10 weeks of training. Post-training fitness measures confirmed the effectiveness of the high intensity aerobic exercise and between groups differences for physiological and some psychological measures were found. Subjects undergoing high intensity exercise reported significantly less stress than subjects in the remaining three groups. The relationship between stress and anxiety/depression/hostility for the high intensity group was considerably weakened at the end of the training period. For the remaining subjects, however, this relationship was, if anything, strengthened. This experiment provides evidence to suggest that in an adolescent population, high intensity aerobic exercise has positive effects on well-being.