Depression is considered the most important disorder affecting mental health. The aim of this systematic integrative review was: (i) to describe the effects of supplementation with adaptogens on variables related to depression in adults; and (ii) to discuss the potential combination with physical exercise to aid planning and commissioning future clinical research. An integrative review was developed complementing the Preferred Reporting Items for Systematic reviews and Meta-Analyses statement (PROSPERO registration: CRD42021249682). A total of 41 articles met the inclusion criteria. With a Price index of 46.4%, we found that: (i) Hypericum perforatum (St. John’s Wort) is the most studied and supported adaptogen (17/41 [41.46%], three systematic reviews with meta-analysis) followed by Crocus sativus L. or saffron (6/41 [14.63%], three systematic reviews with meta-analysis and two systematic reviews); (ii) it is possible that the significantly better performance of adaptogens over placebo is due to the reduction of allostatic load via the action of secondary metabolites on BDNF regulation; and, (iii) the number of studies reporting physical activity levels is limited or null for those that combine an exercise program with the consumption of adaptogens. Aware of the need for a multidisciplinary approach for depression treatment, this systematic integrative review provides an up-to-date view for supporting the use of St. John’s Wort and saffron as non-pharmacological strategies while also help commissioning future research on the efficacy of other adaptogens. It also contributes to the design of future clinical research studies that evaluate the consumption of herbal extracts plus physical exercise, mainly resistance training, as a potentially safe and powerful strategy to treat depression.