The effects of Kouk Sun Do (KSD), a mind–body exercise on mental health in university students, were investigated in this pilot study. University students (N = 30) with self-reported anxiety symptoms were randomly assigned to either the treatment group or the waiting list control group. Eighteen participants (N = 18; seven in the treatment group and 11 in the waiting list control group) completed a pre-test and a post-test, and 12 participants dropped out before or during the intervention. Ten 70-min KSD exercise sessions were conducted three times per week over a 4-week period. Trait anxiety, depressive symptoms and general self-efficacy in coping with stress were measured with the pre-test and the post-test. Qualitative data were collected using open-ended questions regarding benefits of KSD at the last session. A two (group) by two (time) repeated-measure analysis of variance was used to analyse the data. Trait anxiety and depressive symptoms decreased whereas general self-efficacy increased over a 4-week period. The treatment group had significantly reduced trait anxiety and depressive symptoms compared with the control group across time. Qualitative data provided support that the self-induced relaxation effects of KSD may lead to reduced anxiety. Copyright © 2012 John Wiley & Sons, Ltd.