We present analytic gradients for local density fitting Hartree-Fock (HF) and hybrid Kohn-Sham (KS) density functional methods. Due to the non-variational nature of the local fitting algorithm, the method of Lagrange multipliers is used to avoid the solution of the coupled perturbed HF and KS equations. We propose efficient algorithms for the solution of the arising Z-vector equations and the gradient calculation that preserve the third-order scaling and low memory requirement of the original local fitting algorithm. In order to demonstrate the speed and accuracy of our implementation, gradient calculations and geometry optimizations are presented for various molecular systems. Our results show that significant speedups can be achieved compared to conventional density fitting calculations without sacrificing accuracy.