Major depressive disorder (MDD) is one of the leading causes of disease burden and disability worldwide. Brain-derived neurotrophic factor (BDNF) seems to have an important role in the molecular mechanisms underlying MDD aetiology, given its implication in regulating neuronal plasticity. There is evidence that physical activity (PA) improves depressive symptoms, with a key role of BDNF in this effect. We aim to perform a systematic review examining the relationship between the BDNF Val66Met polymorphism and the BDNF protein, PA and MDD. Both observational and experimental design original articles or systematic reviews were selected, according to the PRISMA statement. Six studies evaluated the Val66Met polymorphism, suggesting a greater impact of physical activity on depression depending on the Val66Met genotype. More discordant findings were observed among the 13 studies assessing BDNF levels with acute or chronic exercise interventions, mainly due to the high heterogeneity found among intervention designs, limited sample size, and potential bias. Overall, there is cumulative evidence supporting the potential role of BDNF in the interaction between PA and MDD. However, this review highlights the need for further research with more homogeneous and standardised criteria, and pinpoints important confounding factors that must be considered in future studies to provide robust conclusions. •BDNF is involved in the interaction between physical activity and depression.•Several studies support the role of BDNF Val66Met genotype in this interaction.•Discordant results among those studies analysing BDNF protein levels were found.•Deeper characterization of PA interventions would provide more comparable findings.•Key confounding factors (e.g., use of antidepressants, sex and age) were identified.