Physical activity is well-known to have a plethora of positive physiological, psychological, and sociological benefits. However, many college students do not meet the physical activity guidelines for Americans. In addition, depression and anxiety rates among college students have continued to rise. The purpose of this study was to examine the effects of a peer-assisted, self-selected physical activity program on depression and anxiety in college students. In-depth interviews were conducted with three program participants, six physical activity buddies, and three referring healthcare providers. Results showed significant benefits for everyone involved in the program. Program participants experienced reduced depression and anxiety, as well as increases in exercise self-efficacy and competence. The mechanism found to be primarily responsible for changes was the combination of physical activity and relatedness, and other mechanisms included routine, nature, and other lifestyle changes. Results illuminate a cost-effective way to address rising depression and anxiety rates in college students.