Forty-three depressed women were randomly assigned to either (a) an aerobic exercise treatment condition in which they participated in strenuous exercise, (b) a placebo treatment condition in which they practiced relaxation exercises, or (c) a no-treatment condition. Aerobic capacity was assessed before and after the 10-week treatment period. Self-reported depression was assessed before, during, and after the treatment period. The results indicated that subjects in the aerobic exercise condition evidenced reliably greater improvements in aerobic capacity than did the subjects in either of the other conditions (p less than .002 in both cases) and that the subjects in the aerobic exercise condition evidenced reliably greater decreases in depression than did subjects in the placebo condition (p = .05) or subjects in the no-treatment condition (p = .001). These results provide the first controlled evidence concerning the effects of strenuous exercise on depression.