This article critically reviews the evidence that exercise is effective in treating depression in adults. Depression is recognised as a mood state, clinical syndrome and psychiatric condition, and traditional methods for assessing depression (e.g. standard interviews, questionnaires) are described. In order to place exercise therapy into context, more established methods for treating clinical depression are discussed. Observational (e.g. cross-sectional and correlational) and interventional studies of exercise are reviewed in healthy adults, those with comorbid medical conditions, and patients with major depression. Potential mechanisms by which exercise may reduce depression are described, and directions for future research in the area are suggested. The available evidence provides considerable support for the value of exercise in reducing depressive symptoms in both healthy and clinical populations. However, many studies have significant methodological limitations. Thus, more data from carefully conducted clinical trials are needed before exercise can be recommended as an alternative to more traditional, empirically validated pharmacological and behavioural therapies.