Depression is a psychiatric disorder that profoundly affects the psychological and physiological health of patients, imposing substantial mental and economic burdens on both patients and their families. Although pharmacological treatments are commonly used in clinical practice, their prolonged treatment duration and significant side effects limit their clinical applicability and effectiveness. Exercise intervention, as a non-pharmacological physical therapy, offers advantages such as high feasibility and minimal side effects, and has been widely used to promote neurological function recovery in patients. From the perspective of exercise intervention alleviating neurological dysfunction in patients with depression, this article reviews the direct and indirect mechanisms of exercise intervention in the prevention and treatment of depression, focusing on aspects such as promoting neuronal protection and regeneration, regulating the expression of neurotrophic factors, and modulating signal transmission between neurons. The aim is to provide a scientific reference for clarifying the mechanisms by which exercise therapy exerts its antidepressant effects.