Background: Physical activity is beneficial to physical, social, and emotional well-being, and schools are required to provide opportunities to engage in physical activity. While physical education and school sport have been extensively researched, little is known about the value of informal, unstructured, exercise opportunities. Methods: This study involved interviews with 19 adolescent girls who attended "extra" exercise opportunities provided by their school. The 3 opportunities were: (1) informal before-school exercise sessions at school, (2) before-school sport training, and (3) externally provided exercise sessions in a community setting during school hours. Results: Students perceived all opportunities as valuable with benefits to confidence, social well-being, and emotional well-being. The informal exercise sessions held greater benefits to confidence as confidence transferred from the physical activity context into the academic classroom more so than for those participating in sport. Social benefits were greater for those exercising before school as this opportunity created new relationships with teachers and with students from other classes and year groups. Conclusions: The opportunity to engage in informal exercise with peers before school widened social networks, increased confidence, changed the overall school climate, and increased attendance.