Memory impairments are a frequently reported cognitive symptom in people suffering from major depressive disorder (MDD) and often persist despite antidepressant therapy. Neuroimaging studies have identified abnormal hippocampal activity during memory processes in MDD. Exercise as an ad-on treatment for MDD is a promising therapeutic strategy shown to improve mood, cognitive function, and neural structure and function. To advance our understanding of how exercise impacts neural function in MDD, we must also understand how exercise impacts healthy individuals without MDD. This pilot study used a subsequent memory paradigm to investigate the effects of an eight-week exercise intervention on hippocampal function in low-active healthy (n = 8) and low-active MDD (n = 8) individuals. Results showed a marked improvement in depression scores for the MDD group (p < 0.0001) and no change in memory performance for either group (p > 0.05). Functional imaging results showed a marginally significant decrease in hippocampal activity in both groups following the exercise intervention. Our whole brain analysis collapsed across groups revealed a similar deactivation pattern across several memory-associated regions. These results suggest that exercise may enhance neural efficiency in low-fit individuals while still resulting in a substantially greater mood effect for those suffering from MDD. This trial is registered with clinical trials.gov NCT03191994.