Major depressive disorder (MDD) is a source of great disease burden, due in part to the limited accessibility and effectiveness of current treatments. Although current treatments are efficacious in a segment of the population with MDD, there is a clear need for alternative and augmentation treatment strategies. Exercise is one such alternative treatment option. Research has shown exercise to be efficacious as both a stand-alone and an augmentation therapy. As a result, exercise is now included in the American Psychiatric Association’s treatment recommendations. The purpose of this article is to provide clinicians with a knowledge base to prescribe exercise to their patients. The authors describe the evidence supporting the use of exercise in the treatment of MDD, provide evidence-based recommendations for prescribing exercise, and address practical considerations related to prescribing exercise in real-world treatment settings. (Journal of Psychiatric Practice 2013;19:204–212)