Engaging in green exercise (physical activity undertaken in the presence of elements of the natural environment) has been associated with mental health benefits beyond those of physical activity undertaken in other types of environmental settings, e.g. indoors, urban environments. This dataset examines the green exercise behaviour of people residing in the United Kingdom (UK). Between 28 August 2019 and 30 April 2020, adults residing in the UK were invited to participate in an online survey exploring their green exercise behaviour. Respondents were asked to report the mode, frequency, duration, intensity, and environmental setting (to identify green exercise) of the three most frequent types of physical activity they engaged in over the past year. The psychological health of respondents was assessed using the Depression, Anxiety and Stress scale (DASS-21) and Short Warwick Edinburgh Mental Wellbeing scale (SWEMWBS). The extent to which respondents felt connected to the natural world was assessed via the Nature Connection Index (NCI). In addition, respondents who reported engaging in green exercise were asked additional questions about their motivation for engaging in green exercise via the Physical Activity and Leisure Motivation Scale (PALMS), seven items based on the recreational experience preference scales and about their attitudes towards green exercise via the Indirect Beliefs about Green Exercise (BAGE-ID). All respondents were asked socioeconomic questions relating to age, gender, ethnicity, living arrangements, employment status, education and income to permit comparison with the general UK population.