This quantitative and correlational between groups study examined if higher levels of weekly exercise would result in improved mental health, specifically if it would reduce participants perceived stress levels, increase psychological wellbeing and general self-efficacy. Participants were (n = 144) with roughly an even male/female ratio. Participants were sourced through Facebook where the studies questionnaire was posted. Respondents levels of exercise was measured and broken into low, moderate and high groups. No statistically significant results were found for the 3 groups of exercise across perceived stress, psychological wellbeing, or general self-efficacy. However psychological wellbeing and general self-efficacy both reported their highest mean score in the high exercise group, while the perceived stress highest mean was in the moderate exercise group. The main conclusions from this study were not in line with previous research which states increased exercise frequency has beneficial effects to perceived stress, psychological well-being and general self-efficacy.