Background: Interventions based on physical activity are of proven efficacy as adjunctive interventions in mental health, but less is known about how these benefits come about. Aims: This review summarises the qualitative research on the perspectives of service users so as to shed light on possible psychological and social mechanisms of therapeutic change. Method: Thirteen published studies were identified by a detailed search of the peer-reviewed literature employing a variety of methodologies across a range of physical activity contexts for participants with severe and enduring mental health difficulties. The results are grouped thematically, and the studies were compared and contrasted with respect to methodology and findings. Findings: There was a high degree of congruence in support of the themes of social interaction and social support; feeling safe; improved symptoms; a sense of meaning, purpose and achievement; identity and the role of the facilitating personnel. Conclusions: Exercise interventions deserve greater emphasis both theoretically and clinically, as many service users experience them as socially inclusive, non-stigmatising and, above all, effective in aiding recovery.