Depression is a common and disabling disease that affects over 100 million people worldwide and can have a significant impact on physical and mental health, reducing their quality of life. Thus, the aim of this article was to provide information on research results and key chains related to the therapeutic effects of chronic aerobic exercise compared with other types of interventions to treat depression, which may become a useful clinical application in a near future. Researches have shown the effectiveness of alternative treatments, such as physical exercise, minimizing high financial costs and minimizing side effects. In this review, the data analyzed allows us to claim that alternative therapies, such as exercise, are effective on controlling and reducing symptoms. 69.3% of the studies that investigated the antidepressant effects of exercise on depressive were significant, and the other 30.7% of the studies improved only in general physiological aspects, such as increased oxygen uptake, increased use of blood glucose and decreased body fat percentage, with no improvement on symptoms of depression. From the sample analyzed, 71.4% was composed of women, and regarding the severity of symptoms, 85% had mild to moderate depression and only 15% had moderate to severe depression. However, there is still disagreement regarding the effect of exercise compared to the use of antidepressants in symptomatology and cognitive function in depression, this suggests that there is no consensus on the correct intensity of aerobic exercise as to achieve the best dose-response, with intensities high to moderate or moderate to mild.