A large body of literature has demonstrated that exercise interventions can improve a broad range of outcomes in people with established schizophrenia, including reducing psychiatric symptoms, increasing cognitive functioning, and improving physical health. Furthermore, these benefits seem just as pronounced in first-episode psychosis. However, there have been few clinical studies to date examining the effects of exercise in those found to be ‘at-risk’ of psychosis, particularly for those meeting the criteria for ‘Clinical High Risk’ (CHR) state (a classification which includes both those meeting the ‘ultra-high risk for psychosis’ criteria and/or those with ‘atrisk mental states’). This is surprising, as a proportion of those in the CHR state go on to develop psychotic disorders, and a growing body of evidence suggests that early interventions in this period have significant potential to improve the course of illness. In this article, we shall review the existing literature for i) exercise as an adjunctive intervention for those treated for psychosis; ii) exercise as a standalone intervention in CHR groups; and iii) the rationale and supportive evidence for widescale use of exercise to preserve physical and mental health in those identified as at risk for psychosis. From this, we will put forth how the CHR phase represents an under-researched but highly-suitable timepoint for administering structured exercise interventions, in order to improve physical, psychological and neurocognitive outcomes; while also potentially reducing the odds of transition to full-threshold psychotic disorders. Following this, directions, recommendations and considerations around both the clinical implementation and future research around exercise in CHR individuals will be discussed.