Depression is the most prevalent stress-related disorder affecting the population world-wide with potential for an eminent increase after the 2020 pandemic. The mechanisms through which metabolism is involved in depression and stress disorders have been extensively investigated. However, their assessment using exogenous measures is a current limitation. Exercise, as is well reported in animal studies, exerts a critical regulatory influence on the main factors known to participate in these mechanisms. This overview describes the role of cortisol, leptin, irisin and BDNF in the exercise physiology and the known mechanism through which these factors act in anti-depressant mechanisms. Furthermore, the exercise is proposed as a clinical recommendation due to its effective and affordable character in treating depression for the sustainability of public health.