Ashtanga is a traditional form of yoga combining vigorous exercise and controlled breathing with the goal of inducing a meditative state through its physical practice. In this study, we examined the effectiveness of Ashtanga yoga as an intervention to improve psychological well-being. Non-clinical volunteers were offered 18 Ashtanga yoga classes, twice per week, over a 9-week period and completed measures of depression, anxiety, affect, self-esteem and interpersonal functioning before starting classes, after the 10th class and after the last class. Of the 44 participants who attended at least one class, 31 completed all three measurement points and attended an average of 11 classes (range = 5–18). Completers reported significant improvements in depression and anxiety symptoms, affect, self-esteem and interpersonal functioning dimensions related to assertiveness, attention to one’s needs and capacity to connect. These results provide support for future investigations of Ashtanga yoga in clinical populations and the exploration of the mechanisms by which it promotes psychological well-being.