Major depressive disorder (MDD) is currently the most common psychiatric disorder in the world. It characterized by a high incidence of disease with the symptoms like depressed mood, slowed thinking, and reduced cognitive function. Without timely intervention, there is a 20–30% risk of conversion to treatment-resistant depression (TRD) and a high burden for the patient, family and society. Numerous studies have shown that physical activity (PA) is a non-pharmacological treatment that can significantly improve the mental status of patients with MDD and has positive effects on cognitive function, sleep status, and brain plasticity. However, the physiological and psychological effects of different types of PA on individuals vary, and the dosage profile of PA in improving symptoms in patients with MDD has not been elucidated. In most current studies of MDD, PA can be categorized as continuous endurance training (ECT), explosive interval training (EIT), resistance strength training (RST), and mind–body training (MBT), and the effects on patients’ depressive symptoms, cognitive function, and sleep varied. Therefore, the present study was based on a narrative review and included a large number of existing studies to investigate the characteristics and differences in the effects of different PA interventions on MDD. The study also investigated the characteristics and differences of different PA interventions in MDD, and explained the neural mechanisms through the results of multimodal brain function monitoring, including the intracranial environment and brain structure. It aims to provide exercise prescription and theoretical reference for future research in neuroscience and clinical intervention in MDD.