Exercise in natural environments positively impacts physical, social and mental wellbeing. However, most research has focused on green exercise, with less investigation of blue exercise (i.e. exercise in natural water). The study explored how blue exercise impacted wellbeing and whether its benefits were unique from other types of physical activity. Qualitative interviews (N = 8) were conducted with adults who participated in kayaking, canoeing, paddle boarding, surfing and open-water swimming. Semi-structured interviews focused on blue exercise type, feelings during/after, and non-blue exercise participation. Transcripts were analysed using inductive thematic analysis. Benefits from blue exercise included being in nature, seeing land from a different perspective, and escaping daily responsibilities. Health benefits included improved physical health, particularly for persons with physical conditions, relaxation/mindfulness, and managing mental health through non-medicinal methods. Participants emphasized social aspects compared with other exercise; particularly through supporting others in skill development. They highlighted respect for water and feelings of achievement by overcoming their fear of it. The findings supported social, mental and physical benefits of exercising in nature liked to restorative environments and basic psychological need fulfilment, with several unique benefits specific to blue exercise. Encouraging blue exercise may have public health potential; but research should explore barriers to engaging with it and how it differs from other nature-based exercise.