The objective of this exploratory one-group pretest-posttest study was to evaluate the nature of psychological change in inward depressed psychiatric patients attending multi-disciplinary treatment, including physical activity, designed to improve mental well-being. Female depressed psychiatric patients (n = 51) were examined before and after this programme over a period of 3 months. The following psychological parameters were assessed: depression, anxiety, global self-esteem, and physical self-perceptions. Depressed patients demonstrated statistically significant improvements in depression, anxiety, global self-esteem and physical self-worth (t(50) ranging from -3.76 to 4.65, all p < 0.007; ES ranging from 0.53 to -0.65). Changes in depression and anxiety displayed a strong negative correlation with changes in global self-esteem, and those changes are independent of the initial severity of the depressive symptoms ( F(2,48) ranging from 0.03 to 0.70, n.s.). Patients with greater improvement in physical self-perceptions reported greater improvement anxious symptoms then patients who did not improve. Consequently, within the limitations of the research design it can be concluded that the programme appeared successful in improving psychological well-being in female depressed patients. Results also provide preliminary insight into the potential role of the physical self in recovery.