Conclusions: Exercise is an effective treatment for depression, with walking or jogging, yoga, and strength training more effective than other exercises, particularly when intense. Yoga and strength training were well tolerated compared with other treatments. Exercise appeared equally effective for people with and without comorbidities and with different baseline levels of depression. To mitigate expectancy effects, future studies could aim to blind participants and staff. These forms of exercise could be considered alongside psychotherapy and antidepressants as core treatments for depression.