Background: Depression is a distressing side effect of cancer and its treatment. In the general population, exercise is an effective antidepressant. Objective: We conducted a systematic review and meta-analysis to determine the antidepressant effect of exercise in cancer survivors. Data Sources: In May 2011, we searched MEDLINE, PsycInfo, EMBASE, CINAHL, CDSR, CENTRAL, AMED, Biosis Previews, and Sport Discus and citations from relevant articles and reviews. Study Eligibility Criteria: We included randomized controlled trials (RCT) comparing exercise interventions with usual care in cancer survivors, using a self-report inventory or clinician rating to assess depressive symptoms, and reporting symptoms pre- and postintervention. Study Appraisal: Around 7,042 study titles were identified and screened, with 15 RCTs included. Synthesis Methods: Effect sizes (ES) were reported as mean change scores. The Q test was conducted to evaluate heterogeneity of ES. Potential moderator variables were evaluated with examination of scatter plots and Wilcoxon rank-sum or Kruskal–Wallis tests. Results: The overall ES, under a random-effects model, was −0.22 (confidence interval, −0.43 to −0.09; P = 0.04). Significant moderating variables (ps < 0.05) were exercise location, exercise supervision, and exercise duration. Limitations: Only one study identified depression as the primary endpoint. Conclusions: Exercise has modest positive effects on depressive symptoms with larger effects for programs that were supervised or partially supervised, not conducted at home, and at least 30 minutes in duration.