This report deals with the findings of an epidemiological interview carried out among two representative samples (n = 800 + 800) consisting of persons born in 1904–13 and in 1914–23, and living at home in the year 1988 in the city of Jyväskylä, central Finland. The participation rate was 80% (n = 1244). It appeared that overall involvement in physical exercise decreased with increasing age, especially among the women. About 50% of the subjects carried out regular walking exercise and 40% practised some form of home gynastics which was considered not to be very intensive. About 20% of the subjects were no more physically active than was essential for performing their daily activities. According to log-linear and regression models, there was a significant association between higher prevalence of depression and no regular physical exercise. Self-rated meaningfulness of life and better subjective health were also significantly related to regular and intensive physical exercise. These relationships were more obvious among the younger cohort (65–74 years). The results suggest that involvement in physical exercise may promote positive perceptions of psychological well-being among the elderly. On the other hand, psychological well-being seemed to be an important predictor for staying physically active at advanced ages. These findings are based on a cross-sectional study and therefore leave open the question of direction of causality which will be pursued in a follow-up survey.