A large body of research supports the use of exercise as a treatment for depression across a wide range of ages and with special populations, such as pregnant women and women who suffer from postpartum depression. However, methodologic limitations have historically limited our ability to interpret and understand previous research findings, which in turn may have hindered acceptance of exercise as treatment for depressed patients. This review provides information on some of the most salient studies of exercise as a treatment for depression and highlights important methodologic issues that have limited this area of research. In addition, several ongoing studies that were designed to address these limitations are reviewed. These and future well-designed trials can better inform the field regarding the utility of exercise in the treatment of depression.