Individuals with mental illness experience poorer sleep quality compared to the general population. Exercise may improve sleep quality through a reduction in arousal, however the association between perceived exercise intensity and sleep quality for this population is largely unknown. Forty inpatient mental health consumers reported perceived exertion prior to, and immediately following, a morning session of combined aerobic and strengthening exercise. Self-reported sleep quality was reported immediately upon waking the day following the acute exercise session. Pearson's correlations examined the relationship between exercise intensity and sleep quality. A significant negative correlation was observed between post-exercise exertion and sleep quality (r = -0.32, p = 0.045). A reduction in arousal may explain the observed effects for people with anxiety disorders.