Introduction Major depressive disorder is frequent and implies a high morbimortality. The addition of exercise has been proposed to improve the response rate to pharmacological monotherapy. However, this intervention is still controversial. Methods We searched Epistemonikos, the largest database of systematic reviews in health, maintained by screening multiple sources of information, including MEDLINE/PubMed, EMBASE, and Cochrane. We extracted data from the identified reviews, analyzed the data from the primary studies, performed a meta-analysis, and prepared a summary table of the results using the Grading of Recommendations Assessment, Development, and Evaluation (GRADE) method. Results and conclusions We identified 20 systematic reviews that together included 15 primary studies. Of these, eight were randomized trials. We con-clude that the addition of aerobic exercise to pharmacological monotherapy for patients with major depression could slightly decrease the severity of depressive symptoms with low certainty of evidence.