Forty clinically depressed women were randomized to a running, weight lifting, or delayed treatment condition. Self-concept was assessed at baseline, pre-, mid-, and posttreatment for all subjects and at 1, 7, and 12 months for exercise groups. Significant improvements in self-concept were found for exercise groups relative to control groups. No significant differences between exercise groups were found, and improvements were reasonably well-maintained over time. Differential changes on dimensions of self-concept were not demonstrated. These results suggest that both running and weight lifting exercise programs improve self-concept in clinically depressed women.