‘Green exercise’ (being physically active within a natural environment) research has examined the influence of environmental setting on health and wellbeing-related exercise outcomes. However, it is not known whether social exercise settings influence green exercise-associated changes in mood, self-esteem, and connection to nature. This study directly compared outcomes of participating in green exercise alone compared to in a group. Using repeated measures, counterbalanced and randomized-crossover design, participants (n = 40) completed two 3 km runs around sports fields. These fields had a relatively flat grass terrain, predominant view of trees, and open grassland. On one occasion participants ran alone and on the other they ran in a group of 4–5 participants. Questionnaire measures of mood, self-esteem, and connection to nature were completed immediately pre- and post-run. Across all of the measures, two-way mixed ANOVAs found that there were statistically significant effects for time but not for time-by-condition interactions. The simplest interpretation of this finding is that social setting does not influence individuals’ attainment of the psychological outcomes of green exercise participation. However, we discuss the possibility that more complex processes might underpin this finding.