Exercise as a public health tool has largely been built around its plausible impact on physical health, including a positive impact on the prevention and management of type 2 diabetes. There is a growing interest in its potential to influence other aspects of quality of life such as mental health and general well-being. The effects of physical activity on overall quality of life are well established in the general population and have been analyzed on various dimensions of the Health-Related Quality of Life (HRQL) including physical and social functioning; subjective well-being, emotion and mood; self esteem and self-perception; cognitive performance; and sleep quality. Even though the effectiveness of physical activity and exercise on physical health has been shown in numerous studies, less evidence is available to show if similar positive improvements in well-being can be seen in subjects with type 2 diabetes. The purpose of this manuscript is to summarize the efficacy of structured exercise counseling on the well-being of type 2 diabetic patients and make some general recommendations. As such, although there is more to be learned about effective strategies in clinical practice, it seems clear that the intervention needs to incorporate individualization and long-term interaction with trained facilitators.