Partial response to antidepressant treatment is common in people with MDD and is associated with significant morbidity and reduced quality of life. Pharmacological therapies have been used to augment the effect of antidepressants; however, such therapies are associated with a range of adverse effects. Studies indicate that exercise may be safe and effective in augmenting depression treatment. This study will determine whether exercise can complement selective serotonin reuptake inhibitor (SSRI) therapy in people with MDD who have residual symptoms of depression despite drug treatment.