This prospective, naturalistic study examined the relationship between different exercise dimensions (i.e., frequency, intensity, duration, and omissions of planned exercise) and psychological well-being among community adults participating in self-selected exercise. For at least 2 months, participants kept daily exercise diaries and provided weekly ratings for depressed mood, anxiety, sleep quality, concentration, alertness, confidence, weight satisfaction, physical fitness, appetite, satisfaction with physical shape and appearance, and stress experienced. Linear mixed model analyses revealed positive associations between exercise frequency, intensity, and duration across a broad range of psychological and mood-related outcomes. In contrast, omissions of planned exercise were associated with a global and detrimental effect on psychological health. A main effect of age and a moderating effect of gender was observed in many of the models. This work contributes to literature on exercise dimensions and psychological constructs and informs future research that is needed to develop physical activity recommendations for improved mental health.