Depression is a major medical and social problem. Here we review current body of knowledge on the benefits of exercise as an effective strategy for both the prevention and treatment of this condition. We also analyze the biological pathways involved in such potential benefits, which include changes in neurotrophic factors, oxidative stress and inflammation, telomere length, brain volume and microvessels, neurotransmitters or hormones. We also identify major caveats in this field of research: further studies are needed to identify which are the most appropriate types of exercise interventions (intensity, duration, or frequency) to treat and prevent depression.