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The positive relationship between exercise and mental health is often taken for granted in today’s society, despite the lack of academic literature evidencing this symbiosis. Gender is considered a significant determinant in a number of mental health diagnoses. Indeed, women are considered twice as likely as men to experience the most pervasive mental health condition, depression. Exercise for women’s mental health is promoted through various macrolevel charity, as well as microlevel, campaigns that influence government healthcare policy and National Health Service guidelines. Indeed, ‘exercise prescriptions’ in the treatment of depression is not uncommon. Yet, this link between exercise as a treatment for women’s mental health has not always been so pervasive. In fact, an examination of asylum reports and medical journals from the late 19th century highlights a significant shift in attitude towards the role of exercise in the treatment of women’s emotional states and mental health. This paper specifically examines how this treatment of women’s mental health through exercise has moved from what might be regarded as a focus on exercise as a ‘cause’ of women’s mental ailments to exercise promoted as a ‘cure’. Unpacking the changing medical attitudes towards exercise for women in line with larger sociopolitical and historic contexts reveals that while this shift towards exercise promotion might prima facie appear as a less essentialist view of women and their mental and physical states, it inevitably remains tied to larger policy and governance agendas. New modes of exercise ‘treatment’ for women’s mental health are not politically neutral and, thus, what appear to emerge as forms of liberation are, in actuality, subtler forms of regulation.