To assess the therapeutic impacts of exercise, massage, and music interventions on college students experiencing depression by employing a mesh meta-analysis approach. This research intends to offer valuable insights to aid in the development of non-pharmaceutical treatment strategies for depression. Methods: We conducted a thorough search across various databases including Cochrane, PubMed, Embase, Web of Science, CNKI, and Wanfang to explore the effects of music, massage, aerobic exercise, fitness Qigong, yoga, tai chi, ball games, strength training, dance, whole body vibration training, and high-intensity interval training on the treatment of depression in college students. The search period was from January 1, 2023, which marks the establishment of each database. Subsequently, a mesh meta-analysis was performed using the "Stata 15.1" software, incorporating outcome indicators from 24 included literature comprising a total of 1458 patients. Results: Based on the ranking of the optimal intervention effects of various non-pharmaceutical methods, the order, from highest to lowest probability, was as follows: high-intensity interval training (96%), yoga (94.90%), dance (78.30%), music (73.30%), ball games (62.50%), strength training (51.70%), aerobic training (45.30%), tai chi (35.40%), vibration training (27.30%), massage (20.10%), qigong (14.30%), and no intervention (1.00%). This ranking aligns closely with the findings obtained from pairwise comparisons between different interventions. Conclusion: High-intensity interval training is likely to yield the most effective therapeutic results for college students with depression. In the pairwise comparison of different interventions, High-intensity interval training is also better than most interventions. However, to establish its intervention effect more conclusively, further validation through additional high-quality randomized controlled trials is necessary.