Owing to the complex etiology of depression taking into account the psychosocial and biological interactions in its formation and course, a comprehensive and integrated approach to this health issue is essential, one that would take into account additional forms of therapeutic interventions besides traditional methods, and increase in physical activity as one of them. The objective of the present paper is to present the significance of physical activity in the prevention and treatment of depressive disorders, based on the results of research carried out in 2014–2019. The review of empirical works indicates that physical activity adjusted to the individual’s needs and health situation can play a role in the prevention and complementary treatment of depressive disorders, including those that occur in the course of somatic diseases. It should be noted that hasty recommendation of physical training to the patients with a severe form of the disorder may cause provocative thoughts, their guilt because of the inability to face the challenge or suicidal behavior.