In the past few years, the mental health of students, particularly females, has emerged as a growing concern worldwide. The study was designed to determine the effect between exercise and mental health status among female students. Thirty female students were selected. The research design employed was an experimental research design involving an eight-week training program that was randomly administered to players with symptoms of depression and anxiety. Pretest and post-test intervention readings assessed the players' responses using standardized measures such as the Burns Anxiety Inventory, Burns Depression Inventory, and Attitudes Toward Exercise and Physical Activity. Burns Anxiety Inventory results concluded there were significant score reductions in relation to anxious feelings, anxious thoughts, and physical symptoms with p-values of <.0001. The Burns Depression Inventory also proved that checklist scores for depression had reduced significantly. The attitude toward exercise andphysical activity changed significantly with mean scores increasing.