About 280 million people suffer from depression as the most common neurological disorder and the most common cause of death worldwide. Exercise with serotonin released in the brain by the 5-HT3-IGF-1 mechanism can lead to antidepressant effects. Swimming exercise has antidepressant effects by increasing the sensitivity of serotonin 5-HT2 receptors and postsynaptic 5-HT1A receptors, increasing 5-HT and 5HIAA levels, increasing TPH and serotonin, and decreasing inflammatory levels of IFN-γ and TNF-α. Anaerobic and aerobic exercises increase beta-endorphin, enkephalin, and dynorphin and have antidepressant effects. Exercise by increasing dopamine, D1R, and D2R leads to the expression of BDNF and activation of TrkB and has antidepressant behavior. Exercise leads to a significant increase in GABAAR (γ2 and α2 subunits) and reduces neurodegenerative disorders caused by GABA imbalance through anti-inflammatory pathways. By increasing glutamate and PGC1α and reducing glutamatergic neurotoxicity, exercise enhances neurogenesis and synaptogenesis and prevents neurodegeneration and the onset of depression. Irisin release during exercise shows an important role in depression by increasing dopamine, BDNF, NGF, and IGF-1 and decreasing inflammatory mediators such as IL-6 and IL-1β. In addition, exercise-induced orexin and NPY can increase hippocampal neurogenesis and relieve depression. After exercise, the tryptophan to large neutral amino acids (TRP/LNAA) ratio and the tryptophan to branched-chain amino acids (BCAA) ratio increase, which may have antidepressant effects. The expression of M5 receptor and nAChR α7 increases after exercise and significantly increases dopamine and acetylcholine and ameliorates depression. It appears that during exercise, muscarinic receptors can reduce depression through dopamine in the absence of acetylcholine. Therefore, exercise can be used to reduce depression by affecting neurotransmitters, neuromodulators, cytokines, and/or neurotrophins.