To determine whether fitness alters psychological and physiological indices of well-being, male police officers were assigned to either an aerobic or anaerobic training condition or to a no treatment control group. The training groups met three times per week in 45 min sessions aimed at improving either cardiovascular endurance or muscle strength. Aerobic fitness level, 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 training and between group differences for physiological and self-report measures were found. Subjects undergoing aerobic training evinced larger changes on the self-report measures of well-being and stress than the anaerobic trainers and both groups showed significant improvement when compared to controls. This experiment provides support for the hypothesis that exercise, and in particular aerobic exercise, has positive effects of well-being. It is suggested that future research might usefully explore the particular contribution of different aspects of the training situation to these effects.