The current pilot study tested the feasibility and preliminary efficacy of a combined group cognitive behavioral therapy and exercise intervention (CBT+E), as compared to treatment as usual (TAU) for managing anxiety and mood symptoms in university students. Participants were 16 undergraduate students with at least mild anxiety, depression, or stress symptoms. Participants were randomly assigned to group CBT+E or TAU. CBT+E ran for seven weeks with group sessions held twice weekly. The first weekly session consisted of group CBT followed by 30 minutes of running and the second weekly session consisted of only group running. Findings suggest that the group CBT+E intervention is feasible in terms of retention and participation, but that recruitment strategies need to be improved. Suggestions to improve recruitment in future research are provided. Preliminary efficacy data show positive trends suggesting further pursuit of this type of intervention is important.