Mechanisms underlying the relationship between exercise and mood are not well understood. This study sought to investigate the role of pro- and anti-inflammatory cytokines and autonomic balance in determining the impact of exercise withdrawal on negative mood. Healthy men and women who regularly exercised (N = 26, mean age = 25.5 years, SD = 4.5 years) were randomised to exercise withdrawal or exercise maintenance for 2 weeks. Protocol adherence was monitored using accelerometers. Inflammatory markers from plasma (interleukin-6, IL-6; tumour necrosis factor-alpha; interleukin-10; and interleukin-1 receptor antagonist), heart-rate variability (HRV) and measures of mood (General Health Questionnaire-28 (GHQ) and the Profile of Mood States (POMS)) were assessed at study entry and at 2-week follow-up. Exercise withdrawal resulted in significant increases in negative mood over time on both the GHQ (p = 0.028) and the POMS (p = 0.005). Following the intervention, IL-6 concentration was lower in the exercise withdrawal than exercise maintenance condition (p = 0.05). No intervention effects were observed for other cytokines or HRV. The mood changes were significantly related to changes in IL-6 concentration (β = − 0.50, p = 0.011), indicating that reduction in IL-6 was related to increased negative mood. Our results are consistent with positive effects of exercise on mental health, but further research on inflammatory pathways is warranted.