Abstract Purpose The aim of this study is to assess the effect of aerobic exercise on the three categories of somatic, affective and cognitive symptoms of depression, and to evaluate the mediating role of quality of life (QOL) domains on this effectiveness. Methods Thirty-one female outpatients suffering from major depressive disorder aged 20-50 years were divided into intervention (n = 15) and control (n = 16) groups. The intervention group received an aerobic exercise program consisting of 36 one-hour sessions, three times a week in the gym with an intensity of 50–70% maximum heart rate and the control group received only routine treatment. Beck Depression Inventory-II and the World Health Organization Quality of Life-BREF questionnaire were used. Results Post-intervention results showed a significant reduction in the intensity of the three somatic (p < 0.001), affective (p < 0.001) and cognitive (p < 0.013) symptoms of depression and a signifcant improvement in the psychological health (p < 0.002) and social relationships (p < 0.003) domains of QOL in the intervention group compared with the control group. No significant difference was found in other domains of QOL between the two groups. Conclusions Aerobic exercise, as a multi-dimensional adjunctive treatment along with routine care, can further improve all three categories of somatic, affective, and cognitive symptoms of depression, especially by enhancing the psychological health and social relationships domains of QOL.

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