ObjectiveTo estimate the efficacy of exercise on depressive symptoms compared with non-active control groups and to determine the moderating effects of exercise on depression and the presence of publication bias.DesignSystematic review and meta-analysis with meta-regression.Data sourcesThe Cochrane Central Register of Controlled Trials, PubMed, MEDLINE, Embase, SPORTDiscus, PsycINFO, Scopus and Web of Science were searched without language restrictions from inception to 13 September2022 (PROSPERO registration no CRD42020210651).Eligibility criteria for selecting studiesRandomised controlled trials including participants aged 18 years or older with a diagnosis of major depressive disorder or those with depressive symptoms determined by validated screening measures scoring above the threshold value, investigating the effects of an exercise intervention (aerobic and/or resistance exercise) compared with a non-exercising control group.ResultsForty-one studies, comprising 2264 participants post intervention were included in the meta-analysis demonstrating large effects (standardised mean difference (SMD)=−0.946, 95% CI −1.18 to −0.71) favouring exercise interventions which corresponds to the number needed to treat (NNT)=2 (95% CI 1.68 to 2.59). Large effects were found in studies with individuals with major depressive disorder (SMD=−0.998, 95% CI −1.39 to −0.61, k=20), supervised exercise interventions (SMD=−1.026, 95% CI −1.28 to −0.77, k=40) and moderate effects when analyses were restricted to low risk of bias studies (SMD=−0.666, 95% CI −0.99 to −0.34, k=12, NNT=2.8 (95% CI 1.94 to 5.22)).ConclusionExercise is efficacious in treating depression and depressive symptoms and should be offered as an evidence-based treatment option focusing on supervised and group exercise with moderate intensity and aerobic exercise regimes. The small sample sizes of many trials and high heterogeneity in methods should be considered when interpreting the results.