First-episode psychosis (FEP) is a psychiatric disorder, characterised by positive and negative symptoms, usually emerging during adolescence and early adulthood. FEP represents an early intervention opportunity for intervention in psychosis. Redox disturbance and subsequent oxidative stress have been linked to the pathophysiology of FEP. Exercise training can perturb oxidative stress and rebalance the antioxidant system and thus represents an intervention with the potential to interact with a mechanism of disease. The aim of this study was to assess the effect of exercise on markers of redox status in FEP. Twenty-two young men were recruited from Birmingham Early Intervention services and randomised to either a 12-week exercise programme or treatment as usual (control). Measures of blood and brain glutathione (GSH), markers of oxidative damage, inflammation, neuronal health, symptomology and habitual physical activity were assessed. Exercise training was protective against changes related to continued psychosis. Symptomatically, those in the exercise group showed reductions in positive and general psychopathology, and stable negative symptoms (compared to increased negative symptoms in the control group). Peripheral GSH was increased by 5.6% in the exercise group, compared to a significant decrease (24.4%) (p = 0.04) in the control group. Exercise attenuated negative changes in markers of neuronal function (brain-derived neurotrophic factor), lipid damage (thiobarbituric acid-reactive substances) and total antioxidant capacity. C-reactive protein and tumour necrosis factor-α also decreased in the exercise group, although protein and DNA oxidation were unchanged. Moderate-intensity exercise training has the ability to elicit changes in markers of oxidative stress and antioxidant concentration, with subsequent improvements in symptoms of psychosis.