Depression is a syndrome of stress- and emotion-dysregulation, involving compromised structural integrity of frontal-limbic networks. Meta-analytic evidence indicates that volumetric reductions in the hippocampus, anterior cingulate cortex, prefrontal cortex, striatum, and amygdala, as well as compromised white matter integrity are frequently observed in depressed adults. Exercise has shown promise as an effective treatment for depression, but few studies have attempted to characterize or identify the neural mechanisms of these effects. In this review, we examined the overlap between structural brain abnormalities in depression and the effects of exercise on brain structure in adults, to highlight possible neural mechanisms that may mediate the positive effects of exercise on depressive symptoms. The prefrontal cortex, anterior cingulate cortex, hippocampus, and corpus callosum emerged as structural neural markers that may serve as targets for exercise-based treatments for depression. These findings highlight the need for randomized exercise interventions to test these proposed neurobiological mechanisms of exercise on depression.