It has been demonstrated that craving for gambling is associated with anxiety and depression in pathological gamblers. Exercise has been shown to reduce anxiety and depression, as well as positively influence abstinence rates in individuals with substance use disorders. In this study, we examined the impact of a physical activity program in 33 pathological gamblers. We also analyzed the association between craving and plasmatic levels of stress hormones (adrenocorticotropic hormone, cortisol, and prolactin). The program involved eight 50-min sessions. Craving was assessed 24 h before, immediately before, and immediately after each session, as well as on a weekly basis. Before and after the program, we evaluated gambling behavior, depressive symptoms, anxiety, and plasma levels of stress hormones. We identified a significant reduction in craving following each session and at the end of the program. There was improvement in anxiety, depressive symptoms, and gambling behavior. The post-session reduction in craving was accompanied by post-program reductions in craving and anxiety but not by a post-program reduction in depressive symptoms. The craving reduction was associated with a variation in prolactin levels but not with variations in levels of cortisol or adrenocorticotropic hormone.