Open access. Although currently available evidence suggests that physical exercise can be beneficial for depressed patients and might be comparable to antidepressant treatment, the best way of implementing this recommendation in clinical practice is not known. This study therefore aims to ascertain the non-inferiority of supervised physical exercise to antidepressant drug treatment, in terms of reducing depressive symptoms among patients presenting with clinical criteria of a depressive episode (ICD-10), across a follow-up period of 6 months.