Participants in the study were recreational runners (N = 244) who maintained online diaries. Once a week for approximately 3 months they indicated how far they had run each day that week, and at the end of the week, they provided measures of their psychological well-being. A series of multilevel modeling analyses (weeks nested within persons) found that well-being, measured in terms of self-esteem, life satisfaction, self-efficacy, meaning in life, and affect, was positively related to how many days people ran each week and how far they ran each week. Satisfaction with one’s progress mediated relationships between well-being and the amount of running, suggesting that increases in running lead to increases in satisfaction with progress, which lead to increased well-being. These results complement and extend existing research on the psychological benefits of exercise.