This study aims at investigating the in-depth information regarding impacts of physical exercise on psychological well-being in university students with an emphasis on coping with stress in the context of leisure. A qualitative research, based on interview to draw findings in an inductive way, was conducted. Nine university students (N = 9) in a large mid-west university took part in a face- to face, semi-structured interviews using ten open-ended questions with respect to benefits of leisure time physical exercise. The interview on the basis of phenomenological research examined what the participants experienced with leisure time physical exercise in conjunction with stress coping and mental health. Meaningful units of themes were induced with 24 initially drawn themes. These themes were reduced to 8 comprehensive constituent themes: self-efficacy, positive emotion, mind and body, health-behaviors, self-esteem, leisure, problem-focused coping, and positive expectancy. These reduced themes were finally boiled down to 6 integrated themes: positive emotion, unity of mind and body, heightened self-esteem, leisure, problem-focused coping, and self-regulation of health behavior. This research may shed a light in illuminating potential mechanism of how regular physical exercise is conducive to enhanced health behavior as well as effective stress coping in university students in the context of leisure. In particular, this research appears to be meaningful in suggesting that regular leisure-time physical exercise can lead to an effective problem-focused coping through elicitation of positive emotion.