Background: Cognitive behavioural therapy (CBT) is currently the treatment of choice for most anxiety disorders. Yet, with recovery rates of approximately 50%, many patients fail to achieve complete remission. This has led to increased efforts to enhance treatment efficacy. Physical exercise (PE) has in recent years been advocated as means to augment the effects of CBT for anxiety disorders. PE appears to reduce anxiety through other mechanisms than CBT, some of which might also have the potential to augment the effects of psychological treatment. Aims: The current review aimed to summarize and discuss the current research status on CBT augmented with PE for anxiety. Method: A systematic literature search was conducted in the databases PsychInfo, Medline and Web of Science to evaluate the potential augmentative effect of combining PE with CBT for anxiety disorders. These effects were intended to be evaluated in a meta-analysis, but findings from the few and diverse studies were better summarized in a systematic review. Results: Eight articles were included in this review, of which two had no control group, while six had from two to four experimental arms. Six of the studies concluded in favour of benefits of add-on PE, while two studies found no added benefits of the combined interventions. Conclusions: The combination of PE and CBT appears feasible. Add-on PE seems to be more beneficial for clinical populations, when administered regularly several times per week, across several weeks. Future studies should investigate further how and for whom to best combine PE and CBT.