Despite exercise or physical activity (PA) being effective on depression and weight management generally, its effectiveness remains uncertain during postpartum. This systematic review aimed to determine the efficacy of exercise or PA interventions on postnatal depression (PND) and weight loss, with a subsequent aim to identify more effective intervention approaches. Using PRISMA guidelines, data searches conducted across six databases. Nine studies fulfilled our inclusion criteria. Based on identified studies (some with high-quality RCT designs), there was inconsistency as to whether exercise or PA simultaneously reduced PND symptoms and assisted weight loss (or related body composition indices). Two (22.2%) identified changes in both outcomes with small effect sizes. Four studies (44.4%) reported changes in one outcome, typically PND with variable effect sizes, while three studies (33.3%) reported no effect. Studies implemented different exercise/PA modalities (commonly walking) and incorporated various support strategies to assist intervention participation and adherence. Studies identified as most likely to associate with PND and/or weight loss changes were those with supervision (1-1, group), structure (weekly frequency, scheduled durations and moderate intensity), which adhered to specific exercise/PA guidelines over an extended postpartum period (e.g. 12 weeks +) and were supplemented by several psycho-social support strategies (e.g. educational information, exercise/PA advice, and counselling). Future studies need to carefully address prior study methodological weaknesses (e.g. study design, inclusion criteria, measurement, reporting, assessing confounding factors), further examine proposed more beneficial exercise/PA intervention approaches, and consider how exercise/PA could be best delivered in practice to benefit women's postpartum health.