Depression is a psychiatric disorder and major contributor to the burden of disease worldwide. The strength of evidence of the benefits of exercise as a therapeutic intervention for patients with depression has expanded in the last 30 years. In fact, the available evidence indicates exercise can not only help manage depressive symptoms, but also effect significant improvements in other health outcomes. Clinical guidelines including such recommendations have been issued by different agencies, namely the UK National Institute for Health and Clinical Excellence (NICE), the American Psychiatric Association (APA), and the Royal Australian and New Zealand College of Psychiatrists (RANZCP). With increasing recognition of the benefits of exercise and shortcomings of healthcare systems, other countries, such as Sweden and Canada, have included exercise in their national guidelines for treating depression. Unfortunately, progress in incorporating exercise guidelines into clinical practice has been slow, and Portugal and Brazil reflect this reality. In this update, we reemphasize the importance of bridging this gap and integrating exercise into clinical practice guidelines as an essential component of depression treatment.