Background There is general population evidence that physical exercise is effective in reducing the risk of depression and has positive effects on mood. Some prisons encourage exercise, but there is no evidence specific to this group on its benefits or the relative merits of different programmes. Aims To test the effect of physical exercise on the psychological well‐being of prisoners and to determine which mental disorders are most affected by physical activity. Methods Sixty‐four participants were randomly assigned across three groups: cardiovascular plus resistance training (CRT), high‐intensity strength training (HIST) and no exercise. Before and after the 9‐month experimental period, all participants completed the Symptom Checklist‐90‐Revised. Results Each form of exercise significantly reduced depression scale scores compared with those in the control group, in which average depression scale scores actually increased. The CRT group also showed a significant decrease in GSI scores on the Symptom Checklist‐90 and on its interpersonal sensitivity scale, whereas the HIST group also significantly improved on the anxiety, phobic anxiety and hostility scale scores. Conclusions Our evidence, taken together with general population studies, supports introduction of supervised, moderately intense exercise for at least 1 h per week for men in prison. They form a high risk group for mental disorders, and such exercise reduces depression and anxiety. Minimal special equipment is needed for CRT. Further research should replicate the study in a larger, multi‐centre trial, and examine impact on shorter‐term and longer‐term prisoners, female prisoners and effects on recidivism. Copyright © 2014 John Wiley & Sons, Ltd.