This commentary review evaluates current review and meta-analysis evidence on the association between exercise and depression. Collectively this evidence demonstrates a clear and robust effect of depressive symptom reduction as a result of exercise, and this effect is shown to be particularly stronger in populations with greater severity of depressive symptoms. Examination of potential mechanisms to explain this effect reveals factors at biological (e.g. neuroendocrine, neurotrophic, oxidative, and cortical pathways), psychological (e.g. self-efficacy, mastery, cognitive distraction), and social (e.g. reduced social isolation, social support) levels. Furthermore, there appear to be several additional indirect effects (e.g. improved physical wellbeing, reductions in comorbidity) that further contribute to reduced depression. Taken together the evidence shows exercise can reduce depressive symptoms, and plausible mechanisms exist to explain this effect. However, whilst efficacy is demonstrated, this commentary review also highlights potential issues for implementation within clinical practice. The evidence suggests that whilst exercise may be a viable treatment option compared to no treatment, there is yet no evidence of superiority in comparison to traditional treatment pathways. This raises questions on implementation due to the notable association of treatment drop-out and non-adherence within populations with depression. To address this issue a number of relevant strategies are discussed in relation to interventions that use exercise.