The purpose of this study was to explore the relationships between aerobic exercise, sleep quality, and daytime sleepiness by examining variables that may be associated with exercise in improving sleep (i.e., anxiety, depression, stress, and minor physical symptoms). Specifically, 33 sedentary and 46 exercising men and women (mean age 73, range 60–82) were asked to complete questionnaires on sleep, anxiety, depression, stress, and minor physical symptoms. Next, subjects were asked to complete a 14-day sleep log. The groups did not differ on a number of control variables: age, gender, trait sociability, trait shyness, number of social contacts, and body mass. Analyses revealed that the exercise group had greater sleep quality in the form of greater sleep duration, less sleep onset latency, and less daytime dysfunction. It was also found that exercise seems to be related to sleep quality and daytime naps independent of the psychological variables; however, exercise seems to be related to the other parameters of sleep by mediating the salience of the psychological variables.