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Introduction Acute anxiety is common across psychiatric disorders and may interfere with treatment engagement. Although physical activity is known to improve long-term mental health outcomes, less is known about its immediate associations with anxiety reduction in real-world psychiatric settings. This study examined whether participation in therapeutic exercise sessions is associated with short-term changes in self-reported anxiety and whether greater program participation is related to larger reductions. Materials and methods We analyzed data from 179 adult psychiatric patients participating in a structured therapeutic exercise program including (i) 30–45-minute walking sessions, (ii) stretching/yoga-like sessions, and (iii) 5–10-minute diaphragmatic breathing exercises. Self-reported anxiety was assessed using the GAD-7 questionnaire administered immediately before and immediately after exercise sessions. Non-parametric tests evaluated pre–post changes, and Spearman correlations assessed associations between session counts and anxiety change. Results Self-reported anxiety scores were significantly lower after exercise sessions (median pre = 3; median post = 2; Wilcoxon P < 0.001). Improvement was observed in 81% of patients. Anxiety reductions did not differ significantly by sex, diagnosis, or age. Greater participation in walking, stretching/yoga, and breathing sessions was associated with larger decreases in anxiety (Spearman ρ = −0.63 to −0.66, all P < 0.001). Because exercise modalities were highly intercorrelated, these findings likely reflect overall program engagement rather than modality-specific effects. Discussion In this observational clinical sample, participation in exercise sessions was consistently associated with large, rapid short-term reductions in self-reported anxiety across diagnostic categories. The observed dose–response associations suggest that greater engagement may be linked to larger improvements. However, the absence of a control group and the use of a symptom questionnaire in a session-based format limit causal inference. Controlled trials are needed to determine the extent to which exercise itself, expectancy effects, or contextual factors contribute to these improvements.