BACKGROUND: This meta-analysis of randomized controlled trials (RCTs) examines the efficacy of physical exercise as treatment for unipolar depression, both as an independent intervention and as an adjunct intervention to antidepressant medication. METHODS: We searched PsycINFO, EMBASE, MEDLINE, CENTRAL, and Sports Discus for articles published until November 2014. Effect sizes were computed with random effects models. The main outcome was reduction in depressive symptoms or remission. RESULTS: A total of 23 RCTs and 977 participants were included. Physical exercise had a moderate to large significant effect on depression compared to control conditions (g=-0.68), but the effect was small and not significant at follow-up (g=-0.22). Exercise compared to no intervention yielded a large and significant effect size (g=-1.24), and exercise had a moderate and significant effect compared to usual care (g=-0.48). The effects of exercise when compared to psychological treatments or antidepressant medication were small and not significant (g=-0.22 and g=-0.08, respectively). Exercise as an adjunct to antidepressant medication yielded a moderate effect (g=-0.50) that trended toward significance. LIMITATIONS: Use of the arms with the largest clinical effect instead of largest dose may have overestimated the effect of exercise. CONCLUSIONS: Physical exercise is an effective intervention for depression. It also could be a viable adjunct treatment in combination with antidepressants.