In general, depressed patients are physically sedentary. They have reduced physical work capacity but normal pulmonary function compared with the general population. This indicates that the reduced fitness level is caused by physical inactivity and is a strong argument for integrating physical fitness training into comprehensive treatment programmes for depression. Exercise is associated with an antidepressive effect in patients with mild to moderate forms of nonbipolar depressive disorders. An increase in aerobic fitness does not seem to be essential for the antidepressive effect, because similar results are obtained with nonaerobic forms of exercise. More than half of the patients continue with regular exercise 1 year after termination of the training programmes. Patients who continue to exercise tend to have lower depression scores than the sedentary ones. Patients appreciate physical exercise, and rank exercise to be the most important element in comprehensive treatment programmes. Exercise seems to be a promising new approach in the treatment of nonbipolar depressive disorders of mild to moderate severity.