(1) Background: Although interest in the health-promoting effects of forest therapy is increasing, few researchers have investigated the mid-long-term impact of such therapy on health indicators or exercise behaviors. We explored changes in physical health, mental health, and exercise behaviors 1, 2, and 4 weeks after a forest therapy program concluded. We sought to establish a solid foundation for such programs and a standardized evaluation system. (2) Method: We measured the blood pressure and heart rate variability of 99 adults before and after participation in a forest therapy program. We used the State-Trait Anxiety Inventory to assess anxiety, the Beck Depression Inventory to evaluate both anxiety and depression, the Profile of Mood States to explore mood, the Euro-Quality of Life-5 Dimension scale to assess the overall quality of life, and the Positive and Negative Effect Schedule to measure positive and negative mood. We employed the Global Physical Activity Questionnaire to determine exercise time, intensity, and changes in exercise type before the program and 1–4 weeks after program completion. (3) Results: Anxiety, depression, mood, quality of life, heart rate, and blood pressure control improved significantly after the program. The reduced depression and increased medium-intensity exercise time persisted for 1, 2, and 4 weeks after the end of the program. (4) Conclusions: We tracked various health indicators and clearly distinguished those that were useful in the short term from those more appropriate for evaluation in the long term. This is the first report to show that a forest therapy program affects exercise behavior; this suggests that health behaviors should be continuously tracked.