In our review we examine the relationship between physical activity and mental health; especially we determine the effectiveness of exercise in the prevention and treatment of depression. Over the past two decades the literature in the area of physical activity and mental health has been growing. However it seems that the findings and evidences not being utilized by mental health agencies and health practitioners. Depression is the most common disorder in the world, generally has a higher prevalence among women. In our study we overview and demonstrate that the exercise is a powerful intervention for prevention and treatment not only in non-clinical but also in clinical levels of depression. In sub-clinical levels of depression the meta-analytic findings and population surveys suggest that the exercise is associated with a significant moderate reduction of depression in different groups by gender and age; as well as a physically active lifestyle associates with lower levels of depression. In clinical levels of depression the physical activity is an effective tool in the prevention, studies support an association between higher levels of physical activity and lower levels of depression. In the treatment of clinical depression the randomized-controlled trials suggest the clear positive effects of exercise. This effect is similar to psychotherapeutic interventions and it was appeared under relatively short time (4-8 weeks). The exercise is one of the most important preventive health-related behaviors. Our review suggests a protective effect from activity on the development of clinical levels of depression and depressive symptoms. In addition the randomized controlled trials support a causal connection between exercise and reduction of depression. In sum the reviewed studies clearly support the antidepressant effect of exercise.