Physical activity may be a trigger for panic attacks in patients with panic disorder, while exercise may have an antidepressant effect in patients with major depression. In order to examine reactions to rest as well as to exercise periods, we assessed physiological responses (heart rate, blood pressure), subjective responses on a visual analogue scale, and attentional responses with the span of apprehension test. Twenty participants met the diagnostic criteria for panic disorder, 20 patients had major depression, and 20 participants served as controls. Patients with major depression showed slower reaction times than participants in the other groups; this difference was more pronounced with increased task difficulty. Physical activation led to lower depression scores in all groups. Patients with panic disorder had elevated anxiety scores after physical activation, but also after rest. Heart rate as well as systolic blood pressure showed the expected acceleration after physical activation, but there were no differences between the groups. Activation did not seem to influence attentional performance as measured by the span of apprehension test. Results are consistent with a cognitive view of panic disorder. In contrast to patients with panic disorder, patients with major depression seem to have an attentional deficit which is more pronounced with more complex cognitive processing.