Depression is a prevalent devastating mental disorder that affects the normal life of patients and brings a heavy burden to whole society. Although many efforts have been made to attenuate depressive/anxiety symptoms, the current clinic antidepressants have limited effects. Scientists have long been making attempts to find some new strategies that can be applied as the alternative antidepressant therapy. Exercise, a widely recognized healthy lifestyle, has been suggested as a therapy that can relieve psychiatric stress. However, how exercise improves the brain functions and reaches the antidepressant target needs systematic summarization due to the complexity and heterogeneous feature of depression. Brain plasticity, especially adult neurogenesis in the hippocampus, is an important neurophysiology to facilitate animals for neurogenesis can occur in not only humans. Many studies indicated that an appropriate level of exercise can promote neurogenesis in the adult brains. In this article, we provide information about the antidepressant effects of exercise and its implications in adult neurogenesis. From the neurogenesis perspective, we summarize evidence about the effects of exercise in enhancing neurogenesis in the hippocampus through regulating growth factors, neurotrophins, neurotransmitters and metabolism as well as inflammations. Taken together, a large number of published works indicate the multiple benefits of exercise in the brain functions of animals, particularly brain plasticity like neurogenesis and synaptogenesis. Therefore, a new treatment method for depression therapy can be developed by regulating the exercise activity.