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The aim of this study was to examine the effects of a 24-week aerobic exercise training program on daily psychological processes and occurrence of stressors in a group of previously physically underactive family caregivers of patients with dementia. As part of the Fitness, Aging, and STress (FAST) randomized controlled trial, 68 participants (F = 55; M = 13) were randomized to either a staff-supported, 24-week aerobic training (N = 34) program or waitlist control (N = 34) group. Approximately 2 weeks prior to randomization, ecological momentary assessments were completed 6 times per day for 7 days and again in the 24th week of the trial to assess exposure to levels of momentary positive affect, negative affect, rumination, control, and the occurrence of stressors throughout the day. These secondary analyses with data from 56 of the participants revealed that the intervention group showed a significantly larger increase in daily positive affect and perceptions of control compared to control participants over the course of the intervention. A treatment effect was also found for negative affect and rumination, whereby both decreased to a greater extent in the intervention group when compared with participants in the control condition. The 24-week aerobic training program had significant impacts on daily psychological processes in family caregivers, deepening our understanding of the robust effects of exercise on mental health.