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Exercise can be an effective treatment for depression. Although the efficacy of exercise is well established, little is known concerning the biological changes associated with the antidepressant effects of exercise. A randomized, controlled trial was conducted to evaluate the effects of adding exercise to the usual treatment on the thiobarbituric acid-reactive substances (TBARS) and brain-derived neurotrophic factor (BDNF) serum levels of severely depressed inpatients. Twenty-six participants were randomized to an exercise group (n=15, exercise+treatment as usual) or a control group (n=11, treatment as usual). The participants in the exercise group completed a targeted dose of 16.5 kcal/kg/week of aerobic exercise, three times per week, throughout their hospitalizations. The control group did not exercise during their hospitalizations. The mean hospitalization length was of 21.63 (4.5)×23.82 (5.7) days for exercise and control groups, respectively. The exercise group performed a median of nine sessions. After adjusting for previous tobacco use, a significant group×time interaction was found for TBARS serum levels (p=0.02). A post hoc Bonferroni test revealed differences between the exercise and control groups at discharge. A significant time effect (p<0.001) but no group×time interaction was found (p=0.13) for BDNF serum levels. Adding exercise to the usual treatment of severely depressed inpatients decreases the TBARS serum levels of severely depressed inpatients after 3 weeks. Adding exercise had no additional effects on BDNF serum levels.