Major depressive disorder (MDD) in pregnancy or antenatal depression poses unique treatment challenges and has serious consequences for mothers, unborn babies, and families when untreated. This review presents current knowledge on exercise during pregnancy, antidepressant effects of exercise, and the rationale for the specific study of exercise for antenatal depression.A systematic literature review was performed using English language articles published in Medline, PsycINFO, CINAHL, and the Cochrane Library from 1985 to January 2010.There is a broad literature supporting the antidepressant effects of exercise, but a paucity of studies specifically for antenatal depression. A small number of observational studies have reported that regular physical activities improve self-esteem and reduce symptoms of anxiety and depression during pregnancy. To date, there have not been randomized controlled studies of exercise for the treatment of MDD in pregnant women.Systematic studies are needed to assess exercise as a treatment alternative for MDD during pregnancy. In consideration of the benefits of exercise for the mother and baby, and the burden of depression, studies are needed to determine the role of exercise for pregnant women with depression.