Antidepressants are currently the treatment of choice for major depressive disorder (MDD). Nevertheless, a high percentage of patients do not respond to a first-line antidepressant drug, and combination treatments and augmentation strategies increase the risk of side effects. Moreover, a significant proportion of patients are treatment-resistant. In the last 30 years, a number of studies have sought to establish whether exercise could be regarded as an alternative to antidepressants, but so far no specific analysis has examined the efficacy of exercise as an adjunctive treatment in combination with antidepressants. We carried out a systematic review to evaluate the effectiveness of exercise as an adjunctive treatment with antidepressants on depression. A search of relevant papers was carried out in PubMed/Medline, Google Scholar, and Scopus with the following keywords: "exercise," "physical activity," "physical fitness," "depressive disorder," "depression," "depressive symptoms," "add-on," "augmentation," "adjunction," and "combined therapy." Twenty-two full-text articles were retrieved by the search. Among the 13 papers that fulfilled our inclusion criteria, we found methodological weaknesses in the majority. However, the included studies showed a strong effectiveness of exercise combined with antidepressants. Further analyses and higher quality studies are needed; nevertheless, as we have focused on a particular intervention (exercise in adjunction to antidepressants) that better reflects clinical practice, we can hypothesize that this strategy could be appropriately and safely translated into real-world practice.