Millions of Americans suffer from clinical depression each year. Most depressed patients first seek treatment from their primary care providers. Generally, depressed patients treated in primary care settings receive pharmacologic therapy alone. There is evidence to suggest that the addition of cognitive-behavioral therapies, specifically exercise, can improve treatment outcomes for many patients. Exercise is a behavioral intervention that has shown great promise in alleviating symptoms of depression. The current review discusses the growing body of research examining the exercise-depression relationship that supports the efficacy of exercise as an adjunct treatment. Databases searched were Medline, PsycLit, PubMed, and SportsDiscus from the years 1996 through 2003. Terms used in the search were clinical depression, depression, exercise, and physical activity. Further, because primary care physicians deliver important mental health services to the majority of depressed patients, several specific recommendations are made regarding counseling these patients on the adoption and maintenance of exercise programs.