The search for an extended understanding of the causes of depression, and for the development of additional effective treatments is highly significant. Clinical and pre-clinical studies suggest stress is a key mediator in the pathophysiology of depression. Exercise is a readily available therapeutic option, effective as a first-line treatment in mild to moderate depression. In pre-clinical models exercise attenuates stress-related depression-like behaviours. Cellular and humoral neuroimmune mechanisms beyond inflammation and oxidative stress are highly significant in understanding depression pathogenesis. The effects of exercise on such mechanisms are unclear. When clinical and pre-clinical data is taken together, exercise may reduce inflammation and oxidation stress via a multitude of cellular and humoral neuroimmune changes. Astrocytes, microglia and T cells have an antiinflammatory and neuroprotective functions via a variety of mechanisms. It is unknown whether exercise has effects on specific neuroimmune markers implicated in the pathogenesis of depression such as markers of immunosenescence, B or T cell reactivity, astrocyte populations, self-specific CD4+ T cells, T helper 17 cells or T regulatory cells.