Purpose An emerging body of evidence has shown the therapeutic effect of both mindful and non-mindful physical exercises on the treatment of depression. The purpose of this study is to examine the effectiveness of mindful and non-mindful physical exercises as an intervention in managing depression or depressive symptoms based on a systematic literature review. Methods Our review was conducted among five electronic databases to identify randomized controlled trials (RCTs), which tested the effects of mindful or/and non-mindful physical exercises on depression. Studies were classified according to the baseline depression status of participants and its relation to allocation concealment, blinding at outcome assessment, follow-up, and whether intention to treat analysis was employed. Results The results based on 12 RCTs indicated that both the mindful and non-mindful physical exercises were effective in their short-term effect in reducing depression levels or depressive symptoms. However, most of studies had methodological problems that only small sample size was used, and the maintenance effects of physical exercise were not reported. Specific comparisons between RCTs on mindful and non-mindful exercises were not performed because of the limitations on the designs. Conclusions We recommend that more well-controlled studies have to be conducted in the future to address the short- and long-term effects of physical exercise on alleviating depression. Efforts should be focused on unveiling the differential effects of mindful and non-mindful exercises on depression and the underlying mechanisms of their therapeutic action