Physical exercise is a potentially effective treatment for adolescents with mild to moderate depression. However, there is a lack of long-term follow-ups to reveal adolescents’ experiences of exercise as a treatment for depression. The salutogenic concept of sense of coherence (SOC), comprising the domains manageability, comprehensibility, and meaningfulness is important to understand behaviour change. This study aimed to describe adolescents’ long-term experiences of manageability, comprehensibility, and meaningfulness of a group-based exercise intervention for depression. Fourteen adolescents with persistent depression were recruited from a psychiatric outpatient clinic and interviewed one year after participating in a 14-week moderate to vigorous exercise intervention for depression. An abductive qualitative content analysis was conducted, based on the three SOC domains manageability, comprehensibility, and meaningfulness. The results revealed that participation in the intervention was made manageable by a supportive environment, including: the intervention design, togetherness with peer group, and encouragement from adults. The comprehensibility of the intervention emerged through the insights regarding health benefits of exercise and the aim of the intervention. Meaningfulness was achieved through improved health behaviour, well-being and self-esteem, along with strengthened belief in the future and increased commitment to everyday life. The group-based exercise intervention was experienced as manageable, comprehensible, and meaningful.