To evaluate the influence of an exercise programme on postmenopausal women with symptoms of anxiety and depression. The menopause is a period of hormonal changes when mood variations are probably more severe than at any other period of women's lives. Prospective study with control group and pre- and post-treatment measures, after six months treatment. Conducted at two healthcare clinics, in the province of Granada (Spain). A convenience sample of 60 postmenopausal women aged 60-70 years, with symptoms of depression and anxiety, was recruited. The women were randomly divided into two groups: (1) control group, no treatment (n = 30); (2) exercise group, which carried out a programme of mixed physical exercises with musical support (n = 30). All subjects answered questionnaires for the Hamilton Anxiety Scale and the Brink and Yesavage Geriatric Depression Scale before and after treatment. In the exercise group, statistically significant improvements were observed in subjects with moderate and severe depression (18 and 22%, respectively) and in those with symptoms of anxiety. No such changes were observed in the control group. A controlled programme of physical exercise for postmenopausal women alleviates symptoms of anxiety and depression, and its inclusion in primary healthcare programmes should be considered. Menopausal women may benefit from physical exercise, which attenuates the effects of the physiological and psychological changes associated with the menopause and prevents pathologic changes.