To determine the effectiveness of exercise as an intervention in the management of depression. Systematic review and meta-regression analysis of randomised controlled trials obtained from five electronic databases (Medline, Embase, Sports Discus, PsycLIT, Cochrane Library) and through contact with experts in the field, bibliographic searches, and hand searches of recent copies of relevant journals. Standardised mean difference in effect size and weighted mean difference in Beck depression inventory score between exercise and no treatment and between exercise and cognitive therapy. All of the 14 studies analysed had important methodological weaknesses; randomisation was adequately concealed in only three studies, intention to treat analysis was undertaken in only two, and assessment of outcome was blinded in only one. The participants in most studies were community volunteers, and diagnosis was determined by their score on the Beck depression inventory. When compared with no treatment, exercise reduced symptoms of depression (standardised mean difference in effect size -1.1 (95% confidence interval -1.5 to -0.6); weighted mean difference in Beck depression inventory -7.3 (-10.0 to -4.6)). The effect size was significantly greater in those trials with shorter follow up and in two trials reported only as conference abstracts. The effect of exercise was similar to that of cognitive therapy (standardised mean difference -0.3 (95% confidence interval -0.7 to 0.1)). The effectiveness of exercise in reducing symptoms of depression cannot be determined because of a lack of good quality research on clinical populations with adequate follow up.