The mechanism behind the onset of depression has been the focus of current research in the neuroscience field. Silent information regulator 1 (SIRT1) is a key player in regulating energy metabolism, and it can regulate depression by mediating the inflammatory response (e.g., nuclear factor-kappa B (NF-κB), tumor necrosis factor-α (TNF-α), interleukin-1β (IL-1β)), gene expression in the nucleus accumben (NAc) and CA1 region of the hippocampus (e.g., nescient helix-loop-helix2 (NHLH2), monoamine oxidase (MAO-A), and 5-Hydroxyindole-3-acetic acid (5-HIAA)), and neuronal regeneration in the CA3 region of the hippocampus. Exercise is an important means to improve energy metabolism and depression, but it remains to be established how SIRT1 acts during exercise and improves depression. By induction and analysis, SIRT1 can be activated by exercise and then improve the function of the hypothalamic–pituitary–adrenal (HPA) axis by upregulating brain-derived neurotrophic factors (BDNF), inhibit the inflammatory response (suppression of the NF-κB and TNF-α/indoleamine 2,3-dioxygenase (IDO)/5-Hydroxytryptamine (5-HT) pathways), and promote neurogenesis (activation of the insulin-like growth factor1 (IGF-1) and growth-associated protein-43 (GAP-43) pathways, etc.), thereby improving depression. The present review gives a summary and an outlook based on this finding and makes an analysis, which will provide a new rationale and insight for the mechanism by which exercise improves depression.