Exercise is an efficacious treatment for major depressive disorder (MDD) and has independently been shown to have anti-inflammatory effects in non-depressed subjects. Patients with MDD have elevated inflammatory cytokines but it is not known if exercise affects inflammation in MDD patients and whether these changes are clinically relevant. In the TReatment with Exercise Augmentation for Depression (TREAD) study, participants who were partial responders to a selective serotonin reuptake inhibitor were randomized to receive one of two doses of exercise: 16 kilocalories per kilogram of body weight per week (KKW), or 4 KKW for 12 weeks. Blood samples were collected before initiation and again at the end of the 12-week exercise intervention. Serum was analyzed using a multiplexed ELISA for interferon-γ (IFN-γ), interleukin-1β (IL-1β), interleukin-6 (IL-6) and tumor necrosis factor-α (TNF-α). Higher baseline levels of TNF-α were associated with greater decrease in depression symptoms over the 12-week exercise period (P<0.0001). In addition, a significant positive correlation between change in IL-1β and change in depression symptom scores was observed (P=0.04). There were no significant changes in mean level of any cytokine following the 12-week intervention, and no significant relationship between exercise dose and change in mean cytokine level. Results suggest that high TNF-α may differentially predict better outcomes with exercise treatment as opposed to antidepressant medications for which high TNF-α is linked to poor response. Our results also confirm findings from studies of antidepressant medications that tie decreasing IL-1β to positive depression treatment outcomes.