To assess the adherence and acceptability of a physical activity program delivered as an adjunct to the usual cognitive behavioural group therapy (CBGT) for adults with anxiety disorders. Seventy-three participants with either a generalised anxiety disorder, social phobia or panic disorder were randomised to either exercise-enhanced CBGT (CBGT+EX) or the usual CBGT plus nutrition education (CBGT+ED) group. Physical activity, stress, anxiety, depression were assessed at baseline; session attendance, compliance and satisfaction were assessed during the eight-week intervention. Forty-five per cent of participants achieved the recommended levels of physical activity for health at baseline. The proportions of participants attending group meetings declined over time across both groups. In the intervention groups (CBGT+EX), a slightly higher proportion of participants attended the CBGT session than the physical activity sessions. Individuals with social phobia were significantly more likely than those with panic or generalised anxiety disorder to adhere to the physical activity program. Among the remaining adherers, most reported satisfaction with their skills development and better understanding of the benefits of physical activity. Time constraints and participants viewing physical activities as irrelevant or detracting them from their psychological treatment are potential factors contributing to low adherence and present as challenges in implementing a physical activity program as adjunctive to psychological treatment. Process evaluation data helped profile participants who adhered or not adhered to the physical activity program and will inform future physical activity promotion to individuals with anxiety disorders.