Development of technology, a more pronounced sedentary lifestyle, and inadequate physical activity pose a threat to the psychosomatic state of the individual at the beginning of the 21st century. Increase of incidence of depression leads to the need for more effective and affordable treatment. The World Health Organization presumes that by 2020, depression will be the second second leading cause of world disability. Depression is a complex disorder that manifests itself differently in individuals, often hindering the functioning of a person and presents a significant emotional, social and financial burden. There is no best way to treat depression, there are number of evaluated therapeutic interventions, but still a high percentage of people with the disorder do not adequately respond to the existing treatments. Therefore, it is important that psychological treatments advance and continuously assess which treatments are effective for certain disorders. In this context, more and more the physical and preventive potential of physical activity is explored. The aim of this review is a comprehensive overview of available research of physical activity in the treatment of depression. In addition to evaluating the effect of the treatment, the underlying mechanisms of physical activity have been studied. By summarizing these studies, it can be concluded that physical activity has a positive effect on reducing the symptoms of depression, but due to methodological difficulties in the field, we cannot claim the size of the effect. Research has shown that physical activity can reduce the risk of developing depression. Mechanisms of physical activity have not been established, but assumptions vary from physiological-biochemical to psychological assumptions.