Regular physical exercise/activity has been shown repeatedly to promote positive benefits in cognitive, emotional and motor domains concomitant with reductions in distress and negative affect. It exerts a preventative role in anxiety and depressive states and facilitates psychological well-being in both adolescents and adults. Not least, several meta-analyses attest to improvements brought about by exercise. In the present treatise, the beneficial effects of exercise upon cognitive, executive function and working memory, emotional, self-esteem and depressed mood, motivational, anhedonia and psychomotor retardation, and somatic/physical, sleep disturbances and chronic aches and pains, categories of depression are discussed. Concurrently, the amelioration of several biomarkers associated with depressive states: hypothalamic-pituitary-adrenal (HPA) axis homeostasis, anti-neurodegenerative effects, monoamine metabolism regulation and neuroimmune functioning. The notion that physical exercise may function as "scaffolding" that buttresses available network circuits, anti-inflammatory defences and neuroreparative processes, e.g. brain-derived neurotrophic factor (BDNF), holds a certain appeal.