© 2018 Human Kinetics, Inc. Background: Late-life depression and anxiety among older adults is an important public health concern. This study examined the effect of a DVD-delivered exercise intervention on the secondary outcomes of depression and anxiety in older adults and the extent to which physical self-worth mediated the relationship between leisure-Time physical activity and depression and anxiety. Methods: Older adults (N = 307) were randomized to a 6-month flexibility, toning, and balance DVD (FlexToBa™, FTB) or healthy aging DVD control. Self-reported physical activity and questionnaires were administered at baseline and postintervention. Statistical analyses were conducted in the total sample and in a subsample of participants with elevated levels of depression or anxiety. Results: FTB participants with elevated depression and anxiety symptoms at baseline had significantly greater reductions in depression and anxiety (d = 1.66 and 2.90) than the control condition (d = 0.77 and 0.73). The effect of physical activity on depression and anxiety was partially mediated by increases in physical self-worth in the total sample but not in those with elevated depression or anxiety. Conclusion: A home-based physical activity intervention may be a viable treatment for reducing depression and anxiety in older adults with elevated baseline scores.