Depressive disorders are common among the elderly. Major depressive disorder will be one of the highest healthcare costs in middle and higher income countries by 2030. It is known that physical inactivity leads to negative effects on mental health in the elderly. The purpose of this review was to explore investigate the consequences of physical exercise (aerobic and resistance exercise) on major depressive disorder among elderly, and presenting its potential biological mechanisms. This study was designed according to Preferred Reporting Items for Systematic reviews and Meta-Analyses (PRISMA) guidelines. Clini- cal trials or randomized clinical trials or cohort studies participated of the study design. Ten studies were evaluated and the main outcomes of each were reported. Aerobic and resistance training revealed to be effective in fighting the symptoms of depression. The most common physical exercise protocol adopted to reduce the consequences of major depressive disorder in humans was the prescription of aerobic exercise at moderate-intensity lasting 60 min per session, 3 times per week, for 24 weeks. Physical exercise enhances IGF-I and activates PGC-1α/FNDC5/Irisin pathway. Physical exercise also increases expression of BDNF and its receptor, TrkB, in the hippocampus and prefrontal cortex leading to upstream of ERK and inhibiting depressive-like behavior. Physical exercise brings mental health benefits and plays a crucial role in avoiding the development of major depressive disorder.