Physical activity is associated with a favourable (blunted) cortisol stress reactivity in healthy people. However, evidence from experimental study and with psychiatric patients is missing. This study examines whether exercise training impacts on cortisol stress reactivity in inpatients with major depressive disorder (MDD). These new insights are important because the stress reactivity of healthy people and patients with severe symptoms of depression might differ. Methods: The study was designed as a randomized controlled trial (trial registration number: NCT02679053). In total, 25 patients (13 women, 12 men, mean age: 38.1 ± 12.0 years) completed a laboratory stressor task before and after a six-week intervention period. Nine samples of salivary free cortisol were taken before and after the Trier social stress test (TSST). Fourteen participants took part in six weeks of aerobic exercise training, while 11 patients were allocated to the control condition. While the primary outcome of the study was depressive symptom severity, the focus of this paper is on one of the secondary outcomes (cortisol reactivity during the TSST). The impact of aerobic exercise training was examined with a repeated-measures analysis of variance. We also examined the association between change in depression and cortisol response via correlational analysis. Cortisol reactivity did not change from baseline to post-intervention, either in the intervention or the control group. Participation in six weeks of aerobic exercise training was not associated with participants’ cortisol reactivity. Moreover, depressive symptom change was not associated with change in cortisol response. Aerobic exercise training was not associated with patients’ stress reactivity in this study. Because many patients initially showed a relatively flat/blunted cortisol response curve, efforts might be needed to find out which treatments are most efficient to promote a normalization of HPA axis reactivity.