This paper reports findings from a qualitative investigation into the relationship between physical activity and mental health from the experiences of participants on exercise referral schemes. A grounded theory methodology was adopted which used focus groups and semi-structured interviews with participants from three exercise referral schemes in England. Schemes were representative of different types within the UK, and included a local authority leisure centre, a private health club and a local authority leisure centre scheme with organized countryside hikes. Pre- and post-exercise referral intervention focus groups, and interviews with purposively sampled individuals, were undertaken. Eighteen people participated and interviews were audio-taped, transcribed and analyzed. A conceptual framework emerged, and provides a psycho-social explanation for the physical activity and mental health relationship from the perspectives of the participants who experienced it. The explanation of the relationship from this perspective identifies the core category "self-acceptance" and the importance and interrelationship of context-related factors (such as social support and the physical environment), for the elicitation of positive experiences for people on exercise referral schemes. Investigating participants experiences within the social contexts of exercise referral schemes provides an understanding about whether schemes have the potential to influence the mental health of referred patients.