Background: Exercise may improve psychosocial distress in patients with cancer; however, few studies have examined the effects of different types or doses of exercise, or whether exercise effects are related to baseline depression levels.Methods: In a multicenter trial in Canada, we randomized 301 patients with breast cancer initiating chemotherapy to thrice weekly, supervised exercise consisting of either a standard dose of 25 to 30 minutes of aerobic exercise (STAN; n ¼ 96), a higher dose of 50 to 60 minutes of aerobic exercise (HIGH; n ¼ 101), or a combined dose of 50 to 60 minutes of aerobic and resistance exercise (COMB; n ¼ 104). The primary endpoint was depression assessed by the Center for Epidemiological Studies-Depression scale at baseline, twice during chemotherapy, and postchemotherapy. Secondary endpoints were anxiety, perceived stress, and self-esteem.Results: Repeated measures ANOVA indicated that neither HIGH [mean difference ¼ À0.9; 95% confidence interval (CI), þ0.0 to À1.8; P ¼ 0.061] nor COMB (mean difference ¼ À0.4; 95% CI, þ0.5 to À1.3; P ¼ 0.36) was superior to STAN for managing depressive symptoms. In a planned subgroup analysis, there was a significant interaction with baseline depression levels (P interaction ¼ 0.027) indicating that COMB and HIGH were effective for managing depressive symptoms in patients with clinical levels of depressive symptoms at baseline.Conclusions: Compared with a standard volume of aerobic exercise, higher volumes of exercise did not help manage depressive symptoms in unselected patients with breast cancer receiving chemotherapy, but they were effective in patients with clinical levels of depressive symptoms at baseline.Impact: A phase III exercise trial targeting depressed patients with breast cancer is warranted. Cancer Epidemiol Biomarkers Prev; 23(5); 857-64. Ó2014 AACR.