The prevalence of cancer in the UK is increasing and while survival rates are improving, many patients experience psychological distress that is often under-recognised and undertreated. Physical exercise has been shown to improve mental well-being in the general population, but its effects on people diagnosed with cancer are less widely understood. This systematic review aimed to examine the effects of physical exercise on the mental well-being of people with cancer. A structured search across three databases identified ten eligible studies, including randomised controlled trials and single-arm trials conducted in diverse healthcare systems. Thematic analysis revealed three key themes: the effects of home-based exercise sessions on mental well-being; the effects of taught exercise sessions on mental well-being; and comparing supervised exercise groups with home-based sessions. All studies reported some improvement in mental health outcomes, including reductions in anxiety and depression, and increased self-esteem and mood. The review highlights the need for personalised exercise approaches and further research into barriers to participation to ensure equitable access to these benefits.