The relationship between exercise and mental health is well documented and has led to the inclusion of exercise into the treatment of people with mental health problems. A qualitative (grounded theory) methodology, using focus groups, investigated the experiences of people with mental health problems, who had successfully participated in exercise as part of their treatment. The aim of this study was to investigate the experiences of service users who had successfully participated in sports therapy as part of their treatment. One of the researchers is also a service user who has participated in sports therapy and these experiences provided an insight into the research, especially in the design of the interview schedule, data collection (empathy with participants), and in the interpretation of the data. The dual role of service user and researcher is commended in contemporary mental health research and as such makes this study unique. A conceptual model is presented that explains the participants' subjective experiences, opinions, and perceptions of the role exercise has in their treatment, and their perceived outcomes from participation. The findings support sports therapy as an acceptable and beneficial adjunct to usual treatment for some people with mental health problems within the community, but that problems exist regarding knowledge and understanding of the theory underpinning its use.