Physical inactivity and comorbid depressive symptoms are prevalent among patients with a chronic illness. To our knowledge, randomized controlled trials of the effects of exercise training on depressive symptoms among patients with a chronic illness have not been systematically reviewed. We estimated the population effect of exercise training on depressive symptoms and determined whether the effect varied according to patient characteristics and modifiable features of exercise exposure and clinical settings. Articles published before June 1, 2011, were located using the Physical Activity Guidelines for Americans Scientific Database, Google Scholar, MEDLINE, PsycINFO, PubMed, and Web of Science. Ninety articles involving 10,534 sedentary patients with a chronic illness were selected. Included articles required (1) randomized allocation to an exercise intervention or nonexercise comparison condition and (2) a depression outcome assessed at baseline and at mid- and/or postintervention. Hedges d effect sizes were computed, study quality was evaluated, and random effects models were used to estimate sampling error and population variance of the observed effects. Exercise training significantly reduced depressive symptoms by a heterogeneous mean effect size delta (Δ) of 0.30 (95% CI, 0.25-0.36). Larger antidepressant effects were obtained when (1) baseline depressive symptoms were higher, (2) patients met recommended physical activity levels, and (3) the trial primary outcome, predominantly function related, was significantly improved among patients having baseline depressive symptoms indicative of mild-to-moderate depression. Exercise reduces depressive symptoms among patients with a chronic illness. Patients with depressive symptoms indicative of mild-to-moderate depression and for whom exercise training improves function-related outcomes achieve the largest antidepressant effects.