Brain-derived neurotrophic factor (BDNF) and other neurotrophins are believed to play an important role in affective disorders. In this study we investigated plasma-BDNF response during an incremental exercise test in 18 patients suffering from moderate major depressive disorder (MDD) and 18 controls. The patients were not treated with antidepressants or neuroleptics. Possible associations between plasma plasma-BDNF levels, dexamethasone suppression test cortisol levels and Montgomery-Asberg Depression Rating Scale (MADRS) scores were also tested. No difference in basal BDNF levels between patients and controls was found. BDNF increased significantly during exercise in both male and female patients as well as in male controls, with no significant differences between the groups. BDNF levels declined after exercise, but after 60 min of rest BDNF levels showed tendencies to increase again in male patients. No correlation between BDNF and cortisol or MADRS scores was found. We conclude that unmedicated patients with moderate depression and normal activity of the hypothalamic-pituitary-adrenal axis do not have a disturbed peripheral BDNF release during exercise. The BDNF increase 60 min after interruption of exercise in male patients might indicate up-regulated BDNF synthesis, but this needs to be further investigated in future studies.