Background: Psychiatric disorders are associated with a high prevalence of cardiovascular disease. Regular exercise is known to reduce depressive symptoms and improve vascular function, in turn lowering cardiovascular risk. We aimed to investigate the effects of different exercise modalities on retinal vessel diameters as a microvascular biomarker and depression severity index in patients suffering from unipolar depression. Methods: 23 patients (female: 19, male: 4, age: 36.7, Beck-Depression-Inventory-II (BDI-II) score: 30.7) were enrolled in this two-armed randomized controlled trial. Static vessel analysis was performed to obtain central retinal arteriolar (CRAE) and venular (CRVE) diameter equivalents and the arterio-venous diameter ratio (AVR). Maximal bicycle ergometer exercise testing yielded maximal fitness parameters. Patients were assigned to either high intensity low volume (HILV) or moderate continuous aerobic training (MCT). Both intervention groups trained three times a week during a 4-week intervention period. Results: Moderate interaction effects were found for AVR (ɳp2 = 0.12) whereby HILV showed a larger increase in AVR (HILV: pre: 0.89 (0.04), post: 0.91 (0.04), SMD = -0.50) compared to MCT (MCT: pre: 0.85 (0.06), post: 0.86 (0.05), SMD = -0.18). Parallel group trials revealed a 67% possibly beneficial effect of HILV over MCT. Moderate interaction effects on depression severity reduction (ɳp2 = 0.06) were found, whereby the effect size was slightly larger in MCT. Conclusion: Both exercise interventions improved AVR as well as BDI-II. HILV may be more effective in improving cerebrovascular health. The exercise-induced effects on retinal vessel diameter changes were relatively small and the clinical relevance remains to be investigated in larger and longer-term exercise trials.