Abstract Background. The diagnosis and treatment of cancer may cause clinically significant and persistent psychological morbidity. The objective of this study was to determine the short-term effect of a six week exercise intervention on anxiety and depression in cancer patients undergoing chemotherapy (The 'Body & Cancer' trial). Methods. Two hundred and nine self-referred patients (52 males, 157 females, mean age 47 years) were randomised into an intervention group and a waiting-list control group. Anxiety and depression was measured by the Hospital Anxiety and Depression Scale. Results. At baseline, 23.5% and 11.5% of the population scored >8 on the HADS and were classified as suspicious or definite cases of anxiety and depression, respectively. Adjusted for baseline score, disease and demographic covariates the estimated intervention effect showed improvement at six weeks for depression of -0.7 points (95% confidence interval [CI] -1.27 to -0.14, p = 0.0153). No significant effect was seen on anxiety. Further subanalysis, including only suspicious or definite cases of depression, resulted in an estimated intervention effect of -2.53 points (95% CI, -0.64 to -0.42, p = 0.021). Conclusion. Anti-depressant effects could be caused by exercise in self-referred cancer patients undergoing chemotherapy. Dedicated trials and follow-up studies are needed to clarify the optimal duration and content of exercise interventions to meet the needs of clinically depressive or anxious patients.