In this review, we summarize findings from studies demonstrating the role of exercise in the treatment of MDD and bipolar disorder as well as comorbid conditions. We define exercise broadly in our review given the paucity of data and the lack of consistency in the field. Specifically, exercise in this review includes anaerobic (e.g., strength training) as well as aerobic exercise (e.g., walking, cycling, running, swimming) [24, 25, 29–33]. Moreover, all forms of exercise, whether anaerobic or aerobic, light or vigorous intensity, have been shown to have positive benefits, so we included both anaerobic and aerobic types of physical activity in defining exercise [24, 25, 29, 30, 32, 34]. We also discuss potential mechanisms of exercise. Finally, we propose future directions and examine clinical implications for exercise in the treatment of mood disorders.