Objectives Mental ill-health has become a large health problem and it is important for caregivers to provide effective treatment alternatives. REGASSA is a randomized controlled study performed in primary care to study the effects of 12 weeks of Internet-based cognitive behaviour therapy (ICBT) and physical exercise (PE) compared with treatment as usual (TAU) in patients with mild-to-moderate mental ill-health. The present study aimed to examine the results of these treatment alternatives on psychological functioning, stress, and sleep disturbances. Methods The study comprised 879 patients with mental ill-health taking part in the REGASSA study. Data were collected by Interactive Voice Response (IVR), a computerized, automated telephone technique. The treatments were compared at baseline, twice during treatment, at the end of treatment and at three follow-ups after treatment. Measures used were the Outcome Questionnaire-45, the short versions of the Perceived Stress Scale, and the Karolinska Sleep Questionnaire. Results Linear mixed models showed that the patients in ICBT and PE had better results than in TAU on psychological functioning and sleep disturbances, p < .001, with weak-to-moderate effect sizes. On stress there were no differences; all groups made improvements. Women had stronger effects than men. More patients recovered on psychological functioning (OQ-45) in ICBT and PE than in TAU. Conclusions Internet-based cognitive behaviour therapy and PE proved to be effective treatment alternatives for patients with mild-to-moderate mental ill-health in improving psychological functioning, stress, and sleep disturbances and could be useful alternatives in primary care.