The exact mechanisms concerning how exercise affects the brain, under conditions of health or disorder, are not fully understood and the literature lacks a sufficiency of well-designed studies concerning the effects of exercise training on depressive disorders. Nevertheless, the observed antidepressant actions of exercise are strong enough to warrant its application as a viable alternative to current medications in the treatment of depressive disorders [1]. The beneficial effects of exercise upon cognitive, executive function and working memory, emotional, self-esteem and depressed mood, motivational, anhedonia and psychomotor retardation, and somatic/physical, sleep disturbances and chronic aches and pains, categories of depression are discussed. The ameliorative effects of physical exercise upon several biomarkers associated with depressive states.