This cross-sectional study examined the role of exercise in alleviating distress and the association between exercise and coping among women with early siage breast cancer (Stages O-II). Seventy-one women (mean age, 57.4 years) diagnosed over the previous 12 months participated in assessments of mood, coping, social support, and exercise behavior. Women who exercised at criterion levels recommended by the American College of Sports Medicine were compared with those who exercised irregularly and those who were inactive. After age and stage of disease were controlled for, both exercise groups reported less confusion and higher levels of social support than the inactive group did, and the women who exercised at criterion levels reported greater vigor than did their inactive peers. Cluster analyses used to explore the relationship between coping behaviors and exercise status revealed that the inactive women were less likely than the women in the other two groups to use either behavioral coping strategies or adaptive cognitive strategies. The implications of the study include the need for further exploration of the relationship between participation in exercise and mood and coping among cancer survivors.