Major depression (MD) is associated with peripheral inflammation and increased cardiovascular risk. Regular physical exercise can have anti-inflammatory effects. The present study examined whether behavioral activation with exercise affects inflammatory processes in MD. Ninety-eight patients with MD were randomly assigned to cognitive-behavioral therapy (CBT) emphasizing exercise during behavioral activation (CBT-E), CBT with pleasurable low-energy activities as an active control condition (CBT-C) or a passive waiting list control group (WL). Plasma levels of C-reactive protein (CRP), interleukin (IL)-6, IL-10, lipopolysaccharide (LPS)-stimulated IL-6 production, and blood immune cell counts were analyzed at baseline and weeks 8 (post-behavioral activation) and 16 (post-treatment). Thirty non-depressed age- and sex-matched controls were included to examine potential immunological alterations in MD at baseline. Patients with MD exhibited higher levels of CRP, higher neutrophil and monocyte counts, lower IL-10 levels and reduced LPS-stimulated IL-6 production compared to controls (P<0.001-0.045). Multilevel modeling indicated that CBT-E was associated with increased anti-inflammatory IL-10 at weeks 8 and 16 compared to CBT-C and WL (P=0.004-0.018). CBT-E did not significantly affect other immunological makers in the total sample. A subgroup analysis including patients with potentially higher cardiovascular risk (CRP ⩾1 μg ml-1) indicated that CRP was reduced in CBT-E compared to CBT-C (P<0.007) and marginally reduced compared to WL (P<0.085) after week 16. The present findings provide new insights into immunological effects of behavioral treatments against depression. Behavioral activation in conjunction with exercise may have the potential to reverse, in part, immunological alterations in MD.