Objective: This study evaluates whether it is feasible to deliver an exercise program to inactive employees with minimal symptoms of depression, and the size of effects on the mental and physical health of employees. Method: In the fall of 2008, 30 white-collar employees with minimal symptoms of depression (5 ≤ PHQ-9 ≤ 9) were randomly assigned to a 10-week in-company fitness program with two supervised training sessions per week or to a control group. Demographics, depression scores, and exercise behavior were determined by questionnaire, physical health variables were measured and company records were checked to calculate sickness absence data. Participants were measured at baseline and 10 weeks after (post-test). Results: ANCOVA showed that the difference between the groups on the average change in depression from baseline to post-test approached significance. Eighty-six percent of the participants in the exercise group were below the cut-off point for experiencing minimal symptoms of depression, compared with 31% of the control participants. Most physical measures improved significantly from baseline to post-test in the exercise group compared to the control group. The difference between the groups on average change in sickness absence was not significant. Conclusions: This intervention was feasible and shows that exercise can reduce the risk of depression in employees with sedentary jobs, an inactive lifestyle, and a high-risk of depression. A large randomized controlled trial with a long-term follow-up is needed to establish the effectiveness and cost-effectiveness of exercise in the prevention of depression in a workplace setting.