Objectives To evaluate the effects of androgen deprivation therapy (ADT) on depression, anxiety and quality of life (QoL) in patients with prostate cancer (PCa) and to examine the relationship between meeting the National Physical Activity Guidelines of Australia (NPAGA) and the presence and severity of both psychological sequelae and physical side effects associated with ADT. A secondary purpose was to examine the predictors of depression, anxiety and QoL in patients with PCa. Methods A questionnaire was mailed to English‐speaking patients aged 40 to 80 years, who had received radiotherapy for PCa during 2010 and 2011, between 9 and 30 months prior to study initiation. Measures included the following: the International Physical Activity Questionnaire; the Hospital Anxiety and Depression Scale; the Functional Assessment of Cancer Therapy—Prostate; and sociodemographic items. Results Long‐term use of ADT was associated with poorer QoL and psychosocial well‐being. Those meeting NPAGA had significantly lower levels of depression and anxiety and improved QoL compared with those not meeting NPAGA. Logistic regression analyses showed the odds of clinically significant depression and anxiety scores, increased with younger age and comorbid conditions. Not meeting NPAGA increased the likelihood of caseness for depression. Multiple regression analyses revealed that comorbid conditions and treatment category predicted poorer QoL, whereas meeting NPAGA positively predicted QoL. Conclusions The use of ADT in the management of patients with PCa has a measurable effect on QoL. These findings support the utility of physical activity as an intervention for men undergoing ADT. Copyright © 2013 John Wiley & Sons, Ltd.