As a critical period of develop depressive disorders, the prevention and early intervention of depressive disorders in adolescents is very important, but there are some limitations of drug therapy and psychotherapy. The FDA (Food and Drug Administration) recommended that we should use a black-box warning in antidepressants to show that antidepressants may deteriorating disease and/or increasing suicide risk among patients <24 years old. Moreover, the treatment effect of psychotherapy are limited, the high recurrence rate and high treatment cost reminded that we need identify and evaluate new effective treatment of depression among adolescents. There is growing interest in the potential role of exercise in the reduction of depressive symptoms among adolescents, the advantages of low consumption, time control, harmlessness makes exercise easier to execute. In this paper, we reviewed the researches of the relation between exercise and depression among adolescents which including cross-sectional and longitudinal investigation, as well as experimental intervention. The vast majority of studies agreed that exercise do decrease depressive symptoms among adolescents, but there are also a few studies holding that exercise don’t decrease depressive symptoms among adolescents. In view of the above-mentioned fact, we recommend future research should improve experimental paradigm, and base on clinic research. We also summarized the psychological mechanisms (self-efficiency, self-esteem, distraction) and neurobiological mechanisms (neuroendocrine, neurotrophines, oxidative stress, inflammatory, changes on cortical structure and activity, epigenetics) of exercise influence depression. Unfortunately, these hypothesis are not be proved consistently by empirical studies, some studies’ findings didn’t support these hypothesis. In addition, some researcher argued that there are some different between adult and adolescent of it’s functionary mechanism, so more researches are needed to figure out the mechanism of exercise influence depression. At the end of this article, we analyzed the deficiencies of present researches and the probable direction of future studies. First of all, future study should improve the experimental design, the participants in existing researches including clinical patients, subclinical patients and healthy adolescents, future research should pay special attention to clinical studies and try to figure out if exercise can be used as a effective treatment of depressive disorders. And we must consider the placebo effect in treatment of depression, social contact and abandonment rate of exercise when design experimental paradigm. The exploration of exercise types, exercise intensity and duration is also important. Then, there are few researches on this field in China, future study can combining with Chinese characteristics on the basis of domestic and foreign research to explore whether the traditional exercises in China (Tai Chi, Kungfu and so on) or easy exercises that can be done during class interval could or not influence adolescence’s depression level. Finally, we should be more rigorous and scientific when facing and examining the validity of existing hypothesis, and do our best to figure out the psychological and neurobiological mechanisms of exercise influence depression. All in all, future research could further focus on methodological improvement, and explore the best exercise program of antidepressant and the mechanisms. Remarkably, we should verity whether there truly exists the best exercise type, intensity and duration for decrease depressive symptoms among young, or preferred exercise program for young is better. And for psychological and neurobiological mechanisms, we also should figure out whether these mechanisms work together or work independently, and try to completely understand the mechanism of exercise influence depression.