Behavioral therapy (BT) and exercise are efficacious treatments for depression and anxiety when employed separately. The combination of BT and exercise (BT+Ex) may augment improvements but the combined effect of these therapies is not fully elucidated. The purpose of this meta-analysis was to determine if BT+Ex yielded a significant reduction in depression and anxiety symptoms compared to BT alone (BT). Randomized controlled studies published prior to September 2019 were searched among several databases (PUBMED, MEDLINE, PsychArticle, and Cochrane Central Register of Clinical Trials). Studies that measured depression and anxiety symptoms following BT+Ex vs. BT were extracted and analyzed. The effect of these therapies on depression and anxiety were analyzed. Subgroup analyses were performed to evaluate the effect of exercise intensity (moderate and high), exercise type (aerobic and combined exercise), and baseline levels of depression. The moderating effects of gender, age, and treatment duration were performed. Data were extracted from 18 studies (1686 participants, mean age = 47 years, 65% female). There was a significant effect of BT+Ex on symptoms of depression. The effect of BT+Ex was significant for moderate intensity exercise and elevated baseline levels of depression. Age moderated the effect for depression. There was a significant effect of BT+Ex on depressive symptoms in humans. Exercise intensity and elevated depressive symptoms may play a role in the effect of exercise.