According to the studies, physical exercise can prove to be a viable tool for the treatment of depressed patients. In the present review, various research studies from the year 2017-2019 were analyzed. Various reviews also confirmed that exercise played important role in the treatment of depression. After study, it was confirmed that structured and adherence to the exercise played an important role in the success of exercise protocol towards the treatment of patients. Conventional methods such as pharmacotherapy and psychotherapy were also discussed. It was also studied that sedentary behavior of patients with mental disorder can affect the patient badly. Therefore, all the studies concluded that exercise can be considered as better tool for the treatment of depressed patients if exercise are structured and protocol are regularly performed.