Background: The proportion of women is higher than men in depression. This is mainly due to women's physiological regulation is different from men, especially in puberty, menstruation, pregnancy, menopause, among others. Therefore, treating depressive women is still a health challenge. Besides, recent studies of exercise therapy have a more outstanding performance in treating depression, especially in contrast to drug therapy and psychotherapy. Its main advantages are convenience, quickness, no side effects, real-time, and long-term effectiveness. Objective: The aim of this study was to systematically review the clinical efficacy of exercise on women with depressive symptoms. Methods: Searching PubMed, The Cochrane Library, and Embase databases to collect randomized controlled trials about exercise in the treatment of depressive women. After literature screening, data extraction, and literature quality evaluation, the meta-analysis of acquirement data was performed with RevMan5.3 software. Results: A total of 2294 patients were included in 25 different articles totally. Meta-analysis shows that compared with the control group, exercise could relieve female depression (standard mean difference [95% confidence interval, CI] = -0.64 [-0.89 to -0.39], Z = 4.99, P < .001). Subgroup analysis shows that different types of exercise have significant effects in improving depression symptoms. Exercise therapy has better effect on depressive patients induced by physiology or disease than ordinary depressive patients.