Objectives: Increasing the number of daily steps by using a pedometer and a diary leads to an activity increase and improved health outcomes in a variety of somatic disorders. Hence, for the inpatient treatment of depression, supervised exercise interventions are more widespread. We aim to examine if a self-managed pedometer intervention (PI) with the option of being proceeded after discharge leads to reduction of depression and to a physical activity (PA) increase. Methods: The Step Away from Depression (SAD) study is a multicenter randomized controlled trial targeting 400 patients with major depressive disorder. Treatment as usual (TAU) is compared to TAU plus PI after 4 weeks, at discharge, and 6 months after hospital admission. Primary outcomes are clinically rated depression severity and accelerometer-measured step counts. Secondary outcomes include self-reported depression symptoms and PA level, psychiatric symptoms, health-related quality of life, self-efficacy, and components of the Motivation Volition Process Model. Results: We report the design of the SAD study considering several methodological aspects for exercise studies, in general. Conclusions: Results of our study will provide information about efficacy of PI for inpatient treatment and about interrelating processes of change concerning depression, PA, and aspects of motivation and volition.