Exercise is gaining interest as a treatment for major depressive disorder (MDD). Though not yet fully established as an efficacious therapy for psychiatric disorders, exercise has well-established benefits for physical health and overall well-being. However, there are potential health risks to exercise that need to be considered before recommending physical activity to a patient. We present the case of a 48 year-old woman who developed significant elevations in creatine kinase and liver enzyme levels after three work-out sessions consisting of cardiovascular training on an elliptical machine and weightlifting. The elevations resolved with rest, then recurred when the patient again began exercising. These elevations occurred while the patient was participating in a double-blind, placebo-control phase II clinical trial of an experimental medication for MDD. This case highlights several aspects of the appropriate implementation of exercise recommendations in the psychiatric setting. Initiation of exercise regimens is not prohibited in clinical trials, and may be self-initiated by the depressed patient or recommended by the treating physician. This case also highlights that the value of placebo controls in clinical trials of experimental treatments applies to safety as well as efficacy factors. Exercise as a treatment for depression carries both potential benefit for depressive symptoms and risk for adverse events. The design of clinical trials would be strengthened by consideration of these effects of exercise in the future.