Insomnia increases the risk of negative disease trajectory, relapse, and suicide in patients with depression. We aimed at investigating the effects of a single bout of aerobic exercise, performed after 02:00 pm, on the subsequent night's sleep in patients with depression. The study was designed as a two-arm parallel-group, randomized, outcome assessor-blinded, controlled, superiority trial. Patients between 18 and 65 years of age with a primary diagnosis of unipolar depression were included. The intervention was a single 30-minute bout of moderate aerobic exercise. The control group sat and read for 30 minutes. The primary outcome was sleep efficiency measured by polysomnography. Secondary outcomes were other polysomnographic variables, subjective sleep quality, daytime sleepiness, mood states, and adverse events. Ninety-two patients were randomized to the exercise (N = 46) or control group (N = 46). There were no clinically relevant differences at baseline. Intent-to-treat analysis ANCOVA of follow-up sleep efficiency, adjusted for baseline levels and minimization factors, did not detect a significant effect of the allocation (β = -0.93, p = 0.59). There was no evidence for significant differences between both groups in any other objective or subjective sleep outcomes, daytime sleepiness, or adverse events. The intervention had an immediate positive effect on mood states, including depressiveness (β = -0.40, p = 0.003). This is the first trial to study the effects of a single bout of aerobic exercise on sleep in patients with depression to the best of our knowledge. Aerobic exercise had no effect on sleep efficiency but had a strong beneficial effect on mood and did not increase adverse outcomes. These results add to the growing body of evidence that, contrary to sleep hygiene recommendations, exercise after 02:00 pm is not detrimental for sleep. Clinicaltrials.gov, https://clinicaltrials.gov/ct2/show/NCT03673397. Protocol registered on September 17, 2018.