The purpose of this investigation was to explore the effects of dietary weight loss intervention, with and without the addition of exercise on health-related quality of life, depressive symptoms, and anxiety. As part of the EMPOWER study for women, sixty premenopausal women (BMI of 40.4 ± 6.7) were randomized to energy restriction only (ER) or to exercise plus energy restriction (EXER) for 12 months. Health-related quality of life was assessed using the SF-36, depressive symptoms were assessed using the Beck Depression Inventory II (BDI), and anxiety symptoms using the Spielberger state and trait anxiety questionnaire. All measures were completed at baseline, 3, 6 and 12 months. At 12 months, there were significant (p < 0.05) group-by-time interactions favouring the EXER group for five of the eight domains and the mental component summary score. At 12 months, a significant group-by-time interaction favouring the EXER group is reported for both state and trait anxiety (p = .005 and p = .001, respectively). At 12 months, there was a significant group-by-time interaction for depressive symptoms favouring EXER (p < 0.05). Within-group changes for BDI scores were improved at all follow-up time points in the EXER group. Exercise training confers an additional benefit to energy restriction in the absence of additional weight loss at 12 months for health-related quality of life, depressive symptoms, and state and trait anxiety scores when compared to energy restriction only. Exercise and an energy-restricted diet improve health-related quality of life and mental health. Exercise may protect mental health without further weight loss for women with severe obesity.