Introduction: Major depressive disorder (MDD) is a prevalent medical illness that is associated with chronic stress. Patients with MDD can show an imbalance in cortisol levels, which can be restored with the remission of symptoms. Physical exercise training has been used as a tool to promote changes in cortisol levels in healthy individuals. However, it is unknown if exercise can produce the same results in individuals with MDD. Objective: To review evidence of cortisol changes after exercise training in individuals with MDD. Methods: We conducted a search on PubMed, SciELO, LILACS, ISI Web of Knowledge, Scopus, and PsycInfo databases. Random effects meta-analysis was performed and standardized mean difference (SMD) effect size was calculated. Analyses of forest and funnel plots was conducted using Stata v.11.0 software. Results: At first, 463 studies were obtained in the search. After completion of the selection procedure, five articles with seven analyses were included. Type of exercise, frequency of training, cortisol measurement, and type of control group were analyzed. There was a reduction of cortisol levels in the exercise group (SMD = −0.65, 95%CI 1.30-0.01). Moreover, sensitivity analysis and subgroup analyses revealed an effect of type (aerobic exercise) and frequency (five times per week) of exercise on reduction of cortisol levels. However, these results should be interpreted cautiously due to the small number of studies and a substantial heterogeneity among them. Conclusion: Physical exercise promotes a reduction in cortisol levels in individuals with MDD. However, this finding can be influenced by type of exercise, weekly frequency, and type of cortisol measurement.