Our objective was to compare the effects on mental and physical wellbeing, health related quality of life and long-term adherence to physical activity, of participation in physical activity in natural environments compared with physical activity indoors. We conducted a systematic review using the following data sources: Medline, Embase, Psychinfo, GreenFILE, SportDISCUS, The Cochrane Library, Science Citation Index Expanded, Social Sciences Citation Index, Arts and Humanities Citation Index, Conference Proceedings Citation Index--Science and BIOSIS from inception to June 2010. Internet searches of relevant Web sites, hand searches of relevant journals, and the reference lists of included papers and other review papers identified in the search were also searched for relevant information. Controlled trials (randomized and nonrandomized) were included. To be eligible trials had to compare the effects of outdoor exercise initiatives with those conducted indoors and report on at least one physical or mental wellbeing outcome in adults or children. Screening of articles for inclusion, data extraction, and quality appraisal were performed by one reviewer and checked by a second with discrepancies resolved by discussion with a third if necessary. Due to the heterogeneity of identified studies a narrative synthesis was performed. Eleven trials (833 adults) were included. Most participants (6 trials; 523 adults) were young students. Study entry criteria and methods were sparsely reported. All interventions consisted of a single episode of walking or running indoors with the same activity at a similar level conducted outdoors on a separate occasion. A total of 13 different outcome measures were used to evaluate the effects of exercise on mental wellbeing, and 4 outcome measures were used to assess attitude to exercise. Most trials (n = 9) showed some improvement in mental wellbeing on one or other of the outcome measures. Compared with exercising indoors, exercising in natural environments was associated with greater feelings of revitalization and positive engagement, decreases in tension, confusion, anger, and depression, and increased energy. However, the results suggested that feelings of calmness may be decreased following outdoor exercise. Participants reported greater enjoyment and satisfaction with outdoor activity and declared a greater intent to repeat the activity at a later date. None of the identified studies measured the effects of physical activity on physical wellbeing or the effect of natural environments on exercise adherence. The hypothesis that there are added beneficial effects to be gained from performing physical activity outdoors in natural environments is very appealing and has generated considerable interest. This review has shown some promising effects on self-reported mental wellbeing immediately following exercise in nature which are not seen following the same exercise indoors. However, the interpretation and extrapolation of these findings is hampered by the poor methodological quality of the available evidence and the heterogeneity of outcome measures employed. The review demonstrates the paucity of high quality evidence on which to base recommendations and reveals an undoubted need for further research in this area. Large, well designed, longer term trials in populations who might benefit most from the potential advantages of outdoor exercise are needed to fully elucidate the effects on mental and physical wellbeing. The influence of these effects on the sustainability of physical activity initiatives also awaits investigation.