Although researchers have identified the benefits of physical activity on well-being, there is little evidence concerning the effects of nature-based physical activity. We investigated the effect of one nature-based activity—surfing—on the well-being of combat veterans experiencing posttraumatic stress disorder (PTSD). We conducted interviews and participant observations with a group of combat veterans belonging to a United Kingdom-based veterans’ surfing charity. Our primary analytical approach was dialogical narrative analysis. Based on our rigorous analysis and findings, we suggest that surfing facilitated a sense of respite from PTSD. Respite was a fully embodied feeling of release from suffering that was cultivated through surfing and shaped by the stories veterans told of their experiences. We significantly extend previous knowledge on physical activity, combat veterans, and PTSD by highlighting how nature-based physical activity, encapsulated in the conceptual notion of the “blue gym,” can promote well-being among combat veterans.