Previous studies indicated that exercising in natural settings could have more positive mental health effects than other types of exercise. This article further investigates the role of different exercise environment characteristics and compares effects of indoor and outdoor exercise sessions on acute wellbeing and stress levels. A field study with N = 140 collegiate sports participants was conducted. Mood, state stress and state anxiety as well as perceived exercise intensity and the naturalness and calmness of the exercise environment were assessed by means of questionnaires immediately before and after engagement in an indoor or an outdoor exercise session. Results strongly support previous evidence on the beneficial effects of acute exercise on wellbeing and stress levels. Engagement in outdoor exercise did not per se lead to more beneficial changes than engagement in exercise sessions indoors. However, outdoor exercise environments were perceived as more calming and exercise sessions in more calming environments were associated with more stress-reductive effects. Thus, future studies should further investigate the impact of exercise environment characteristics as this could help to maximize beneficial preventive health effects of physical exercise.