Depressive disorders are disabling conditions that account for high social costs. Pilates demonstrated to have several beneficial effects on health. Objective of this manuscript was to systematically review the literature about the effects of Pilates on depressive disorders. A bibliographic search was conducted in the main database sources (Pubmed, Medline, and Scopus). The inclusion criteria consisted of articles written in English language about the effectiveness of Pilates on depressive symptoms. Most of included studies are randomized controlled trials (10 out of 12). The available literature agrees in indicating that Pilates is effective in improving depressive symptoms especially when compared to inactivity and when this practice is administered for a medium-long period (8–16 weeks). In addition, Pilates seems to have at least comparable effectiveness than aerobic exercise. Pilates can be considered a reliable complementary treatment for people with depressive disorders. These findings should be interpreted considering the different types of practice administered as well as the different duration of the programs or rating scales used to assess mood symptoms. Studies with a more homogenous design are needed to confirm and make generalizable the results presented in this review.