There is now evidence to support the antidepressant effects of exercise in general and in clinical populations. This article reviews the evidence regarding the potential role of exercise, particularly pram walking, as an adjunctive treatment for postpartum depression. Database searches revealed two small randomised controlled trials conducted in Australia which support exercise as a useful treatment for women with postpartum depression. In addition, uncontrolled studies and observational evidence suggest that postpartum women, some of whom were depressed, report benefit from participation in exercise programmes. There are plausible mechanisms by which exercise could have such an effect. Limited evidence supports a relationship between participation in exercise and reduction in postpartum depression. Given the reluctance by some women to use antidepressant medication postpartum and the limited availability of psychological therapies, exercise as a therapeutic possibility deserves further exploration. Further research using well-designed randomised controlled trial methodologies are warranted.