The purpose of the present study was to address 1) whether exercise provides protection against new-onset depression and anxiety and 2) if so, the intensity and amount of exercise required to gain protection and, lastly, 3) the mechanisms that underlie any association.A "healthy" cohort of 33,908 adults, selected on the basis of having no symptoms of common mental disorder or limiting physical health conditions, was prospectively followed for 11 years. Validated measures of exercise, depression, anxiety, and a range of potential confounding and mediating factors were collected.Undertaking regular leisure-time exercise was associated with reduced incidence of future depression but not anxiety. The majority of this protective effect occurred at low levels of exercise and was observed regardless of intensity. After adjustment for confounders, the population attributable fraction suggests that, assuming the relationship is causal, 12% of future cases of depression could have been prevented if all participants had engaged in at least 1 hour of physical activity each week. The social and physical health benefits of exercise explained a small proportion of the protective effect. Previously proposed biological mechanisms, such as alterations in parasympathetic vagal tone, did not appear to have a role in explaining the protection against depression.Regular leisure-time exercise of any intensity provides protection against future depression but not anxiety. Relatively modest changes in population levels of exercise may have important public mental health benefits and prevent a substantial number of new cases of depression.