Exercise is increasingly understood as an important resource for people who engage in harmful substance use, including those in prison. Little is known about how inmates adopt various health behaviors during incarceration, without interventions. This cross-sectional study analyzed self-reports from 1464 inmates in Norwegian prisons in 2013–2014, compared them according to harmful substance use pre-incarceration, and explored changes in exercise and nicotine use during incarceration. Results were presented in accordance with the Strengthening the Reporting of Observational Studies in Epidemiology (STROBE) guidelines. Inmates with harmful substance use reported higher rates of smoking, smokeless tobacco, and physical inactivity pre-incarceration than inmates without harmful use. However, inmates with harmful use also exhibited more behavioral changes: they adopted exercise, ceased smoking, and adopted smokeless tobacco at higher rates during incarceration than the non-harmful group, to the extent that inmates with harmful use exercised during incarceration more. Exercise is being taken up by a significant proportion of inmates, and may in particular be a replacement behavior for substance use. However, unhealthy behaviors also begin or are maintained. If prisons were used as an arena to facilitate healthy behaviors, the public health benefits to a marginalized group such as substance-using inmates could be substantial.