Our recent study demonstrates that adiponectin signaling plays a significant role in mediating physical exercise-exerted effects on hippocampal neurogenesis and antidepression in mice. Whether the findings can be translated to humans remains unknown. This study aimed to investigate the effects of Baduanjin Qigong exercise on adiponectin and to evaluate whether adiponectin is involved in the antidepressive effects of Qigong exercise on chronic fatigue syndrome (CFS)-like illness. This is a randomized, waitlist-controlled trial. One hundred eight female participants were randomly assigned to either Qigong exercise or waitlist groups. Sixteen 1.5-h Qigong lessons were conducted. Outcome measures were taken at three time points. Baseline adiponectin levels were negatively associated with body weight, body mass index, waist circumference, hip circumference, and waist/hip ratio in women with CFS-like illness. Compared with the waitlist control, Qigong exercise significantly reduced anxiety and depression symptoms and significantly raised plasma adiponectin levels (median = 0.8 vs. -0.1, p < 0.05). More interestingly, increases in adiponectin levels following Qigong exercise were associated with decreases in depression scores for the Qigong group (r = -0.38, p = 0.04). Moreover, adjusted linear regression analysis further identified Qigong exercise and change in adiponectin levels as the significant factors accounting for reduction of depression symptoms. Baduanjin Qigong significantly increased adiponectin levels in females with CFS-like illness. Decreases in depression symptoms were associated with increases in adiponectin levels following Qigong exercise, indicating that the potential contribution of adiponectin to Qigong exercise elicited antidepressive effects in human subjects.