Exercise reduces the likelihood of psychological distress, but this may be due to incidental socializing. We gathered information on exercise, social support and three aspects of psychological distress from 583 community-dwelling older adults. Exercise and social support from friends were both associated with lower scores of depression, anxiety and perceived stress. For infrequent exercisers, having a low level of social support indicated higher levels of depression, whereas for frequent exercisers, having a low level of social support did not affect depression levels. Both exercise and social support have roles in regulating psychological well-being in older populations and exercisers are less susceptible to effects of low social support on depression.