Little is known about the role of exercise in improving cancer patients' mood while undergoing chemotherapy. In this phase II study changes in self-reported anxiety and depression and fitness (VO2max) are reported in relation to a 6-week, 9 h weekly, multidimensional exercise program. A total of 91 patients receiving chemotherapy, between 18 and 65 years old, completed a Hospital Anxiety and Depression Scale Questionnaire (HADS; response rate 91%, adherence rate 78%). Anxiety (p < 0.001) and depression (p = 0.042) was significantly reduced. The mean ± SD of the change was −1.14 ± 2.91 for anxiety and −0.44 ± 2.77 for depression. Improvements in fitness were correlated with improvements in depression, χ2(1) = 3.966, p = 0.046, but not with improvements in anxiety, χ2(1) = 0.540, p = 0.462. The research suggests that exercise intervention may have a beneficial impact on psychological distress for cancer patients receiving chemotherapy with low to moderate levels of baseline psychomorbidity. The study furthermore indicates that changes in distress may be associated with disease status and levels of physical activity undertaken during disease. The study is followed up by an ongoing randomized clinical controlled trial to evaluate potential causal effects of exercise intervention on psychological distress and fitness in cancer patients undergoing chemotherapy.