Objectives: To assess the long-term effects of various exercise modes on psychological distress in men with prostate cancer on androgen deprivation therapy (ADT). Patients and methods: 135 prostate cancer patients aged 43–90 years on ADT were randomized to twice weekly supervised impact loading and resistance exercise (ImpRes), supervised aerobic and resistance exercise (AerRes), and usual care/delayed supervised aerobic exercise (DelAer) for 12 months, and completed measures of psychological distress using the Brief Symptom Inventory-18 (BSI-18). BSI-18 provides three subscales for anxiety, depression, and somatisation, as well as the global severity index (GSI) where higher scores indicate higher distress. Results: Following the intervention, somatization was not different to baseline, however, there were significant interactions (p < 0.01) for depression, anxiety, and the GSI. In ImpRes, depression was reduced at 12 months compared to baseline and 6 months (0.78 ± 1.39 vs. 1.88 ± 3.24 and 1.48 ± 2.65, p < 0.001), as was the GSI (3.67 ± 4.34 vs. 5.94 ± 7.46 and 4.64 ± 4.73, p < 0.001) with anxiety reduced compared to baseline (1.08 ± 1.54 vs. 1.98 ± 2.56). Depression and the GSI decreased (p < 0.05) in AerRes at 6 months but increased by 12 months, while in DelAer the GSI was reduced at 12 months compared to 6 months (3.78 ± 3.94 vs. 5.25 ± 4.22, p = 0.031). Men with the highest level of anxiety, depression, somatization, and the GSI improved the most with exercise (ptrend < 0.001). Conclusion: Various supervised exercise modes (aerobic, resistance and impact loading) are effective in reducing psychological distress in men with prostate cancer on ADT. Those with the highest level of psychological distress improved the most. Supervised exercise should be prescribed to improve psychological health in prostate cancer patients on ADT.