This review focuses on the benefits of regular physical activity participation have mainly focused on cognitive functioning, anxiety and depression, and self-concept. It is well documented that ex- ercise can enhance cognitive functioning, improve executive function at old age, and improve mental abil- ity of children labeled as educational subnormal or disability. Regular exercise has been used to reduce stress and ward off anxiety and feelings of depression. In addition, exercise can improve self-esteem and positive outlook in life. Studies in these three main areas were reviewed and issues and future directions were highlighted.