Most family-based physical activity interventions have been modestly successful and failed to engage fathers. Also, program impact on family functioning and psychosocial outcomes are rarely measured. We explored the impact of an innovative father–daughter physical activity program on family functioning and psychosocial outcomes for girls using qualitative methods. Of the 115 fathers who participated in the ‘Dads And Daughters Exercising and Empowered’ (DADEE) pilot study, a random sample (stratified by baseline physical activity status) of 23 fathers (mean (SD) age: 41.4 (4.8) years) participated in semi-structured telephone interviews. Audio recordings were transcribed and analyzed by an independent researcher using a mixed inductive and deductive thematic approach. Seven themes were identified highlighting improvements in: (i) daughters’ social-emotional well-being, (ii) father involvement and engagement with their daughter, (iii) fathers’ parenting skills, (iv) the father–daughter relationship, (v) co-parenting, (vi) family relationship dynamics, and (vii) knowledge and understanding of gender stereotypes and gender bias. A number of strategies were also identified as to how the program improved these outcomes. Engaging fathers and daughters in physical activity programs may have substantive benefits for daughters’ mental health as well as broader outcomes for fathers and families. Enhancing fathers’ and daughters’ knowledge and skills through evidence-based strategies may be a useful approach to optimize the well-being of families.