Depression is a major public health concern and a global priority for research and development. The role of Physical Activity (PA) in the treatment and prevention of psychiatric disorders (e.g. depression, anxiety disorders, bipolar disorder and age-related cognitive dysfunction) has been developing in recent times with a significant number of quality trials emerging. This paper aims to provide an up-to-date, critical assessment of the epidemiological, clinical trial and a focus of clinical immunological evidence for PA interventions in the treatment and prevention of depression. A review of the literature suggests higher levels of PA and Cardio-Respiratory Fitness (CRF) are associated with lower levels of depressive symptoms, lower incidence of depression and lower levels of inflammation. Clinical trials suggest that aerobic, resistance and mind-body PA types may be therapeutic in the treatment of subsyndromal and major depression, as well as relapse prevention. Clinical neuroscience studies suggest, among other mechanisms, PA may be anti-inflammatory – with PA subtypes having varying anti-inflammatory effects – and this may be associated with clinical efficacy, as well as personalized treatment approaches. This paper proposes an integrated epidemiological, clinical and neuroscience research approach to this field in order to enhance the efficacy of preventive measures in the future.