This study examines the impact of physical exercise on university students' mental health, focusing on its effects on anxiety, depression, and social adaptation. A 16-week intervention involving aerobic exercise, strength training, team sports, and mind-body exercises showed significant improvements in psychological well-being. Results indicate that yoga and aerobics were most effective in reducing anxiety and depression, team sports enhanced social adaptability, and strength training improved self-esteem and resilience. The findings suggest that moderate-intensity exercise (2-3 times per week, 30-60 minutes per session) optimally benefits mental health. This study supports exercise as a cost-effective, non-pharmacological intervention for mental health and encourages its integration into university well-being programs. Future research should explore individual differences and long-term effects to refine targeted exercise interventions.