Context: In the population at large, regular exercise is associated with reduced anxious and depressive symptoms. Results of experimental studies in clinical populations suggest a causal effect of exercise on anxiety and depression, but it is unclear whether such a causal effect also drives the population association. We cannot exclude the major contribution of a third underlying factor influencing exercise behavior and symptoms of anxiety and depression. Objective: To test causal effects of exercise on anxious and depressive symptoms in a population-based sample. Design: Population-based longitudinal study (1991-2002) in a genetically informative sample of twin families. Setting: Causal effects of exercise were tested by bivariate genetic modeling of the association between exercise and symptoms of anxiety and depression, correlation of intrapair differences in these traits among genetically identical twins, and longitudinal modeling of changes in exercise behavior and anxious and depressive symptoms. Participants: A total of 5952 twins from the Netherlands Twin Register, 1357 additional siblings, and 1249 parents. All participants were aged 18 to 50 years. Main Outcome Measurements: Survey data about leisure-time exercise (metabolic equivalent task hours per week based on type, frequency, and duration of exercise) and 4 scales of anxious and depressive symptoms (depression, anxiety, somatic anxiety, and neuroticism, plus a composite score). Results: Cross-sectional and longitudinal associations were small and were best explained by common genetic factors with opposite effects on exercise behavior and symptoms of anxiety and depression. In genetically identical twin pairs, the twin who exercised more did not display fewer anxious and depressive symptoms than the co-twin who exercised less. Longitudinal analyses showed that increases in exercise participation did not predict decreases in anxious and depressive symptoms. Conclusion: Regular exercise is associated with reduced anxious and depressive symptoms in the population at large, but the association is not because of causal effects of exercise. ©2008 American Medical Association. All rights reserved.