According to World Health Organization, depression, next to cardiovascular disease, will be the world's second-most debilitating disease by 2020. Depression has become one of modern civilization syndromes resulting in relatively high costs in both individual and society. The most frequent treatment for depression is medication. However, side effects caused by antidepressant have been attributed for treatment interruption. Psychotherapy, another often seen treatment for depression syndrome, is found high-cost and low-efficiency. Recent researches suggested that exercise is a viable treatment which is economic in terms of effectiveness. Both acute and chronicle exercise not only have physical benefits, but also improve in psychological indexes. The aim of this paper is to describe benefits of exercise for treating depression.