A large and growing body of evidence suggests that physical activity (PA) may hold therapeutic promise in the management of mental health disorders. Most evidence linking PA to mental health outcomes has focused on the effects of aerobic exercise training on depression, although a growing body of work supports the efficacy of both aerobic and resistance exercise paradigms in the treatment of anxiety and post-traumatic stress disorder. Despite abundant evidence linking PA and mental health, use of exercise training as a mental health treatment remains limited due to three important sources of uncertainty: () large individual differences in response to exercise treatment within multiple mental health domains; () the critical importance of sustained PA engagement, not always achieved, for therapeutic benefit; and () disagreement regarding the relative importance of putative therapeutic mechanisms. Our review of treatment data on exercise interventions and mental health outcomes focuses primarily on depression and anxiety within a health neuroscience framework. Within this conceptual framework, neurobiological and behavioral mechanisms may have additiveor synergistic influences on key cognitive and behavioral processes that influence mental health outcomes. We therefore highlight sources of treatment heterogeneity by integrating the critical influences of () neurobiological mechanisms enhancing neuroplasticity and () behavioral learning of self-regulatory skills. Understanding the interrelationships between dynamic neurobiological and behavioral mechanisms may help inform personalized mental health treatments and clarify why, and for whom, exercise improves mental health outcomes. The review concludes with recommendations for future studies leveraging individual differences to refine treatment approaches to optimize mental health benefits.