Objectives: To determine if adolescents perceive community-based exercise as beneficial to their well-being and in what ways. Methods: A New South Wales Police Citizens Youth Club ran a four-week fitness course. The classes involved: 1) sports including basketball and soccer, 2) non-contact boxing drills, and 3) games, both team games such as dodgeball and non-team games such as line tag. Parental consent to offer a survey at the completion of the course was requested during registration. The survey was the Warwick Edinburgh Mental Well-being Scale; it was minimally modified to measure perceived benefit to mental well-being instead of actual benefit. Results: Thirty-one high school adolescents, ages 13–18, completed the survey. As a group, participants reported that they believed their well-being had improved after the course. The mean score for each survey item showed an improvement in every area of mental well-being for this sample of adolescents. Thirty-two per cent of adolescents reported having less energy. Survey scores indicated a statistically significant improvement in perceived well-being (p < 0.0001). Conclusions: The results of this study suggest that four weeks of community-based exercise improves perceived mental well-being in adolescent participants.