Physical activity can potentially perform a valuable role within the context of psychiatric rehabilitation in terms of physical and mental health benefits. Theoretical and applied considerations have driven the search for the causal mechanism(s) that underpin mental health change through physical activity. To date, no single mechanism has been found to consistently explain changes. A key reason for this is that the occurrence of, and recovery from, mental health problems is influenced by many diverse factors. Both theoretical and methodological issues affect our ability to identify and understand these factors and, subsequently, our ability to promote psychiatric rehabilitation through physical activity. Alternative theoretical and methodological approaches are discussed here with the aim of encouraging a broad-based research agenda which will most effectively serve the needs of mental health service users. These approaches differ widely in scope but all share one thing in common: a personalized understanding of the process of mental health change in psychiatric rehabilitation.