This review summarizes the extant evidence of the effects of exercise training on anxiety among healthy adults, adults with a chronic illness, and individuals diagnosed with an anxiety disorder. A brief discussion of selected proposed mechanisms that may underlie relations of exercise and anxiety is also provided. The weight of the available empirical evidence indicates that exercise training reduces symptoms of anxiety among healthy adults, chronically ill patients, and patients with panic disorder. Preliminary data suggest that exercise training can serve as an alternative therapy for patients with social anxiety disorder, generalized anxiety disorder, and obsessive–compulsive disorder. Anxiety reductions appear to be comparable to empirically supported treatments for panic and generalized anxiety disorders. Large trials aimed at more precisely determining the magnitude and generalizability of exercise training effects appear to be warranted for panic and generalized anxiety disorders. Future well-designed randomized controlled trials should (a) examine the therapeutic effects of exercise training among understudied anxiety disorders, including specific phobias, social anxiety disorder and posttraumatic stress disorder; (b) focus on understudied exercise modalities, including resistance exercise training and programs that combine exercise with cognitive-behavioral therapies; and (c) elucidate putative mechanisms of the anxiolytic effects of exercise training.