The purpose of the present paper is to provide a summary of scientific findings on the relationship between physical activity (PA) and affect. We provide separate narrative reviews of (a) the association between PA and well‐being in the general population; (b) PA as a prophylactic and/or treatment for clinical depression; and (c) immediate affective response to individual PA sessions and the implications for adherence to PA programs. Findings suggest an association between engaging in regular PA and more positive well‐being, decreased risk of future depression, and reduction of depressed mood among those who are already depressed. However, despite the fairly strong evidence for these associations, there is less evidence for causal effects of PA on well‐being and depression. Individual sessions of PA generally result in positive shifts in affective valence from pre‐PA to post‐PA, but during PA, affective response is intensity‐dependent, with considerable variability for moderate intensity PA. In sum, despite the “physical activity feels good” narrative often portrayed in the popular media, the relationship between PA and affect is complex and multifaceted.