Exercise is increasingly recognized as a crucial component in the treatment of depression, offering significant benefits that complement conventional therapies such as psychotherapy and pharmacological treatment. The exercises most commonly performed by individuals with depression include aerobic activities, strength training, as well as yoga and relaxation techniques. On a biochemical level, exercise stimulates the production of neurotransmitters such as serotonin, dopamine, and endorphins. These chemical messengers play a key role in mood regulation and pain reduction, which can significantly alleviate symptoms of depression. Additionally, regular physical activity promotes neuroplasticity, which may improve cognitive functions and increase stress resilience, thereby reducing the intensity of negative emotional reactions associated with depression. Increased physical activity can also enhance sleep quality and reduce symptoms of insomnia, which often accompany depression. Psychological aspects of exercise include boosting self-esteem, reducing feelings of helplessness, and similar effects. Achieving goals in physical activity can provide a sense of accomplishment and motivation, while group activities offer opportunities for social interaction, thereby supporting emotional health. Exercise shows promising results, but the best therapeutic approach to depression is a combination of physical activity with other therapeutic methods. Exercise is a valuable component in strategies for managing depression, with the potential to significantly improve the emotional and mental state of individuals suffering from this disorder. Further research could help optimize recommendations for specific types and intensities of exercise to maximize its benefits within a comprehensive treatment plan.