Background: Reduced brain‐derived neurotrophic factor (BDNF) levels have been linked to increased depression risk. While physical exercise is known to alleviate depressive symptoms and elevate BDNF levels, the effects of different exercise modalities and doses, along with their dose–response relationships, remain unclear.Objective: This study aims to systematically evaluate the effects of various exercise types and doses on BDNF levels in patients with depression through pairwise meta‐analysis, network meta‐analysis (NMA), and dose–response NMA and to provide personalized exercise prescription recommendations.Methods: A comprehensive search identified randomized controlled trials (RCTs) examining exercise’s impact on BDNF levels in depression. Pairwise and NMA compared six exercise modalities: continuous aerobic exercise (CAE), resistance exercise (RE), combined aerobic and resistance exercise (AERE), yoga, Qigong, and mindfulness. Dose–response NMA was used to assess the relationships between exercise dose and BDNF levels.Results: Thirty‐six RCTs with 2515 participants were included. The pairwise meta‐analysis indicated that all exercise interventions significantly elevated BDNF levels in patients with depression, with AERE, RE, and yoga demonstrating the most substantial effects. NMA rankings suggested that AERE was the most effective intervention, followed by RE, yoga, Qigong, mindfulness, and CAE. Dose–response NMA revealed a positive nonlinear dose–response relationship between total exercise volume and BDNF levels, with an optimal effective dose identified at ~610 METs‐min/week. Beyond 1000 metabolic equivalent of tasks (METs)‐min/week, increases in BDNF levels appeared to plateau. Moreover, each exercise type had distinct dose–response patterns, with RE and AERE having relatively higher optimal effective dose ranges, while CAE, yoga, Qigong, and mindfulness exhibited lower optimal ranges.Conclusions: AERE, RE, and yoga are effective interventions for enhancing BDNF levels in patients with depression, with Qigong, mindfulness, and CAE being comparatively less effective. A positive nonlinear dose–response relationship between exercise volume and BDNF levels was observed. Further research is needed to refine dose–response relationships in this population.