ObjectiveThis study aimed to investigate the relationship between physical exercise and depression among college students, focusing on the mediating role of self-esteem and positive psychological capital.MethodsGroup psychological measurements were conducted on 579 students using various scales, including the Physical Activity Rating Scale (PARS-3), Self-Esteem Scale (SES), Positive Psychological Capital Questionnaire (PPQ), and Self-rating Depression Scale (SDS). The data was analyzed using SPSS 26.0 and bootstrap methods to test and analyze the effects.ResultsA negative correlation between physical exercise and depressive mood, with physical exercise significantly predicting college students' depressive mood. Additionally, physical exercise was found to positively predict self-esteem and positive psychological capital, both of which are negatively predictive of depressive mood. Self-esteem and positive psychological capital were identified as significant mediators between physical exercise and depressive mood, with three mediating paths: physical exercise, self-esteem, and depressed mood (Path 1), exhibited an indirect effect of 0.017, with the bootstrap 95% confidence interval excluding 0 (LLCI = −0.051, ULCI = −0.004) and accounting for 8.30% of the total effect. Physical exercise, positive psychological capital, and depression emotion (Path 2), had an indirect effect of 0.049, with the bootstrap 95% confidence interval also not containing 0 (LLCI = −0.088, ULCI = −0.011) and contributing to 23.90% of the total effect. Physical exercise, self-esteem, positive psychological capital, depressed mood (Path 3), demonstrated an indirect effect of 0.006, with the bootstrap 95% confidence interval excluding 0 (LLCI = −0.011, ULCI = −0.001) and representing 2.90% of the total effect.ConclusionPhysical exercise negatively predicts depressive mood among college students and has a mediating effect through self-esteem and positive psychological capital, creating a chain-like impact on their depressive symptoms.