Objectives To assess the benefits and harms of exercise in patients with depression. Design Systematic review Data sources Bibliographical databases were searched until 20 June 2017. Eligibility criteria and outcomes Eligible trials were randomised clinical trials assessing the effect of exercise in participants diagnosed with depression. Primary outcomes were depression severity, lack of remission and serious adverse events (eg, suicide) assessed at the end of the intervention. Secondary outcomes were quality of life and adverse events such as injuries, as well as assessment of depression severity and lack of remission during follow-up after the intervention. Results Thirty-five trials enrolling 2498 participants were included. The effect of exercise versus control on depression severity was -0.66 standardised mean difference (SMD) (95% CI -0.86 to -0.46; p<0.001; grading of recommendations assessment, development and evaluation (GRADE): very low quality). Restricting this analysis to the four trials that seemed less affected of bias, the effect vanished into -0.11 SMD (-0.41 to 0.18; p=0.45; GRADE: low quality). Exercise decreased the relative risk of no remission to 0.78 (0.68 to 0.90; p<0.001; GRADE: very low quality). Restricting this analysis to the two trials that seemed less affected of bias, the effect vanished into 0.95 (0.74 to 1.23; p=0.78). Trial sequential analysis excluded random error when all trials were analysed, but not if focusing on trials less affected of bias. Subgroup analyses found that trial size and intervention duration were inversely associated with effect size for both depression severity and lack of remission. There was no significant effect of exercise on secondary outcomes. Conclusions Trials with less risk of bias suggested no antidepressant effects of exercise and there were no significant effects of exercise on quality of life, depression severity or lack of remission during follow-up. Data for serious adverse events and adverse events were scarce not allowing conclusions for these outcomes. Systematic review registration The protocol was published in the journal Systematic Reviews: 2015; 4:40.