Exercise displays promise as an efficacious treatment for people with depression. However, no systematic review has evaluated the neurobiological effects of exercise among people with major depressive disorder (MDD). The aim of this article was to systematically review the acute and chronic biological responses to exercise in people with MDD. Two authors conducted searches using Medline (PubMed), EMBASE and PsycINFO. From the searches, twenty studies were included within the review, representing 1353 people with MDD. The results demonstrate that a single bout of exercise increases atrial natriuretic peptide (ANP), brain natriuretic peptide (BNP), copepetin and growth hormone among people with MDD. Exercise also potentially promotes long-term adaptations of copeptin, thiobarbituric acid reactive species (TBARS) and total mean frequency (TMF). However, there is limited evidence that exercise promotes adaptations on neurogenesis, inflammation biomarkers and brain structure. Associations between depressive symptoms improvement and hippocampus volume and IL-1β were found. Nevertheless, the paucity of studies and limitations presented within, precludes a more definitive conclusion of the underlying neurobiological explanation for the antidepressant effect of exercise in people with MDD. Further trials should utilize appropriate assessments of neurobiological markers in order to build upon the results of our review and further clarify the potential mechanisms associated with the antidepressant effects of exercise.