The purpose of the pilot study was to explore the psychological, cognitive and physiological changes accompanying exercise-mediated amelioration of clinical depression. Depressed participants were randomly assigned to either a 12-week aerobic exercise (n=10) or stretching (n=13) program. The outcome variables were depression severity, coping efficacy, episodic memory and cortisol awakening response (CAR). Both aerobic exercise and stretching were associated with significant decreases in severity of depression, and increases in coping efficacy and episodic memory over 12 weeks. CAR decreased in the aerobic exercise group and increased in the stretching group over 12 weeks. Change in depression severity was significantly inversely associated with change in coping efficacy and change in episodic memory. No significant correlations were found between CAR and the other outcome variables. Overall, this study demonstrates that exercise and stretching are associated with positive psychological and cognitive changes in those with depression.