The use of augmentation strategies among patients with major depression is increasing because rates of complete remission with standard antidepressant monotherapy are quite low. Clinical and neurobiological data suggest that exercise may be a good candidate for use as an augmentation treatment for depression. This pilot study examined the use of exercise to augment antidepressant medication in patients with major depression. Seventeen patients with incomplete remission of depressive symptoms began a 12-week exercise program while continuing their antidepressant medication (unchanged in type or dose). Individual exercise prescriptions were calculated based on an exercise dose consistent with currently recommended public health guidelines. The exercise consisted of both supervised and home-based sessions. The 17-item Hamilton Rating Scale for Depression (HRSD17) and the Inventory of Depressive Symptomatology-Self-Report (IDS-SR30) were used to assess symptoms of depression on a weekly basis. Intent-to-treat analyses yielded significant decreases on both the HRSD17 (5.8 points, p < 0.008) and IDS-SR30 (13.9 points, p < 0.002). For patients who completed the study (n = 8), HRSD17 scores decreased by 10.4 points and IDS-SR30 scores decreased by 18.8 points. This study provides preliminary evidence for exercise as an effective augmentation treatment for antidepressant medication. This is a lower-cost augmentation strategy that has numerous health benefits and may further reduce depressive symptoms in partial responders to antidepressant treatment. Practical tips on how practitioners can use exercise to enhance antidepressant treatment are discussed. Longer-term use of exercise is also likely to confer additional health benefits for this population.