There is a growing understanding that psychiatric treatment is more than psychotherapy and medication, and that people themselves can be active in preventing and handling mental health problems. This brings non-medical solutions into play. Physical activity (in terms of exercise, sport, and fitness) becomes an important contribution in this particular context. The perceived mental and physical benefits of physical activity (both preventative and therapeutic) for people experiencing mental health problems are well documented. Typically, this kind of research focuses narrowly on “size of effect” or “most successful type of intervention” or “exercise versus other treatment.” Less research has explored the lived experience of physical activity and the meaning and relevance it has for individuals in their everyday lives. This article suggests that sport and exercise can play a valuable role in and contribute to the recovery process for young people with mental health problems. Results from an evaluation study of a developmental project in Denmark shows how physical activity affects a person‟s lived experiences, relationships, and pursuits. The findings is discussed in relation to the concept of recovery, especially focusing on exercise as a form of self-care strategy, as an opportunity to create social relationships, and as a way to become part of a meaningful social activity.