Background: This study aimed to compare the effects of aerobic training (AT), strength training (ST) and low-intensity exercise in a control group (CG) as adjunct treatments to pharmacotherapy for major depressive disorder (MDD) in older persons. Methods: Older persons clinically diagnosed with MDD (n = 27) and treated with antidepressants were blindly randomized into three groups: AT, ST and a CG. All patients were evaluated prior to and 12 weeks after the intervention. Results: Compared with the CG, the AT and ST groups showed significant reductions in depressive symptoms (treatment -response = 50% decrease in the pre- to postintervention assessment) through the Hamilton Depression Rating Scale (AT group: χ2, p = 0.044) and Beck Depression Inventory (ST group: χ2, p = 0.044). Conclusion: Adding AT or ST with moderate intensity to the usual treatment promoted a greater reduction of MDD symptoms.