Depression, a prevalent mental disorder with significant socioeconomic burdens, underscores the urgent need for safe and effective non-pharmacological interventions. Recent advances in microbiome research have revealed the pivotal role of gut microbiota dysbiosis in the pathogenesis of depression. Concurrently, exercise, as a cost-effective and accessible intervention, has demonstrated remarkable efficacy in alleviating depressive symptoms. This comprehensive review synthesizes current evidence on the interplay between exercise, gut microbiota modulation, and depression, elucidating the mechanistic pathways through which exercise ameliorates depressive symptoms via the Microbiota-Gut-Brain (MGB) axis. Depression is characterized by gut microbiota alterations, including reduced alpha and beta diversity, depletion of beneficial taxa (e.g., Bifidobacterium, Lactobacillus, and Coprococcus), and overgrowth of pro-inflammatory and pathogenic bacteria (e.g., Morganella, Klebsiella, and Enterobacteriaceae). Metagenomic analyses reveal disrupted metabolic functions in depressive patients, such as diminished synthesis of short-chain fatty acids (SCFAs), impaired tryptophan metabolism, and dysregulated bile acid conversion. For instance, Bifidobacterium longum deficiency correlates with reduced synthesis of neuroactive metabolites like homovanillic acid, while decreased Coprococcus abundance limits butyrate production, exacerbating neuroinflammation. Furthermore, elevated levels of indole derivatives from Clostridium species inhibit serotonin (5-HT) synthesis, contributing to depressive phenotypes. These dysbiotic profiles disrupt the MGB axis, triggering systemic inflammation, neurotransmitter imbalances, and hypothalamic-pituitary-adrenal (HPA) axis hyperactivity. Exercise exerts profound effects on gut microbiota composition, diversity, and metabolic activity. Longitudinal studies demonstrate that sustained aerobic exercise increases alpha diversity, enriches SCFA-producing genera (e.g., Faecalibacterium prausnitzii, Roseburia, and Akkermansia), and suppresses pathobionts (e.g., Desulfovibrio and Streptococcus). For example, a meta-analysis of 25 trials involving 1,044 participants confirmed that exercise enhances microbial richness and restores the Firmicutes/Bacteroidetes ratio, a biomarker of metabolic health. Notably, endurance training promotes Veillonella proliferation, which converts lactate into propionate, enhancing energy metabolism and delaying fatigue. Exercise also strengthens intestinal barrier integrity by upregulating tight junction proteins (e.g., ZO-1, occludin), thereby reducing lipopolysaccharide (LPS) translocation and systemic inflammation. However, excessive exercise may paradoxically diminish microbial diversity and exacerbate intestinal permeability, highlighting the importance of moderate intensity and duration. Exercise ameliorates depressive symptoms through multifaceted interactions with the gut microbiota, primarily via four interconnected pathways. First, exercise mitigates neuroinflammation by elevating anti-inflammatory short-chain fatty acids (SCFAs) such as butyrate, which suppresses NF-κB signaling to attenuate microglial activation and oxidative stress in the hippocampus. Animal studies demonstrate that voluntary wheel running reduces hippocampal TNF-α and IL-17 levels in stress-induced depression models, while fecal microbiota transplantation (FMT) from exercised mice reverses depressive behaviors by modulating the TLR4/NF-κB pathway. Second, exercise regulates neurotransmitter dynamics by enriching GABA-producing Lactobacillus and Bifidobacterium, thereby counteracting neuronal hyperexcitability. Aerobic exercise also enhances the abundance of Lactobacillus plantarum and Streptococcus thermophilus, which facilitate serotonin (5-HT) and dopamine synthesis. Clinical trials reveal that 12 weeks of moderate exercise increases fecal Coprococcus and Blautia abundance, correlating with improved 5-HT bioavailability and reduced depression scores. Third, exercise normalizes HPA axis hyperactivity by reducing cortisol levels and restoring glucocorticoid receptor sensitivity. In rodent models, chronic stress-induced corticosterone elevation is reversed by probiotic supplementation (e.g., Lactobacillus), which enhances endocannabinoid signaling and hippocampal neurogenesis. Furthermore, exercise upregulates brain-derived neurotrophic factor (BDNF) via microbial metabolites like butyrate, promoting histone acetylation and synaptic plasticity. FMT experiments confirm that exercise-induced microbiota elevates prefrontal BDNF expression, reversing stress-induced neuronal atrophy. Fourth, exercise reshapes microbial metabolic crosstalk, diverting tryptophan metabolism toward 5-HT synthesis instead of neurotoxic kynurenine derivatives. Butyrate inhibits indoleamine 2,3-dioxygenase (IDO), a key enzyme in the kynurenine pathway linked to depression. Concurrently, exercise-induced Akkermansia enrichment enhances mucin production, fortifies the gut barrier, and reduces lipopolysaccharide (LPS)-driven neuroinflammation. Collectively, these mechanisms underscore exercise as a potent modulator of the microbiota-gut-brain axis, offering a holistic approach to alleviating depression through microbial and neurophysiological synergy. Current evidence supports exercise as a potent adjunct therapy for depression, with personalized regimens (e.g., aerobic, resistance, or yoga) tailored to individual microbiota profiles. However, challenges remain in optimizing exercise prescriptions (intensity, duration, and type) and integrating them with probiotics, prebiotics, or FMT for synergistic effects. Future research should prioritize large-scale randomized controlled trials to validate causality, multi-omics approaches to decipher MGB axis dynamics, and mechanistic studies exploring microbial metabolites as therapeutic targets. The authors advocate for a paradigm shift toward microbiota-centric interventions, emphasizing the bidirectional relationship between physical activity and gut ecosystem resilience in mental health management. In conclusion, this review underscores exercise as a multifaceted modulator of the gut-brain axis, offering novel insights into non-pharmacological strategies for depression. By bridging microbial ecology, neuroimmunology, and exercise physiology, this work lays a foundation for precision medicine approaches targeting the gut microbiota to alleviate depressive disorders.