Together, posttraumatic stress disorder (PTSD) and major depressive disorder (MDD) are debilitating and commonly comorbid; however, the effects of this comorbidity on psychological outcomes during exercise programs, such as surf therapy, have not been examined. This study compared changes in depression/anxiety and positive affect during surf therapy sessions between active duty service members with comorbid PTSD and MDD and those with either disorder alone. The study applied DSM-5 criteria to baseline self-report measures to assign probable disorder status, and used a longitudinal design involving repeated measurements to assess outcomes within 6 weekly sessions. Service members completed validated self-report questionnaires using the Patient Health Questionnaire-4 and the Positive Affect Schedule before and after each session. Within surf therapy sessions, both the comorbid and single disorder groups reported significant improvements in symptoms of depression/anxiety and positive affect. However, those with comorbid PTSD and MDD experienced significantly greater reductions in depression/anxiety (beta = -1.22, p = .028) and significantly greater improvements in positive affect (beta = 3.94, p = .046) compared with the single disorder group. Surf therapy appears to have global effects on psychological symptom reduction and may be a useful adjunctive intervention for the treatment of comorbid PTSD and MDD in both clinical and community health settings.