Depression is the most common and devastating psychiatric disorder in the world. Its symptoms, especially during the pandemic, are observed in all age groups. Exercise training (ET) is well known as a non-pharmacological strategy to alleviate clinical depression. The brain-derived neurotrophic factor (BDNF) is one of the biological factors whose expression and secretion are intensified in response to ET. BDNF is also secreted by contracted skeletal muscle that likely exerts para-, auto- and endocrine effects, supporting the crosstalk between skeletal muscle and other distant organs/tissues, such as the nervous system. This finding suggests that they communicate and work together to induce improvements on mood, cognition, and learning processes as BDNF is the main player in the neurogenesis, growth, and survival of neurons. Therefore, BDNF has been recognized as a therapeutic factor in clinical depression, especially in response to ET. The underlying mechanisms through which ET impacts depression are varied. The aim of this review was to provide information of the biological markers of depression such as monoamines, tryptophan, endocannabinoids, markers of inflammatory processes (oxidative stress and cytokines) stress and sex hormones and their relationship to BDNF. In addition, we reviewed the effects of ET on BNDF expression and how it impacts depression as well as the potential mechanisms mediating this process, providing a better understanding of underlying ET-related mechanisms in depression.