The investigators want to find out if their specially designed exercise programme will be more successful at helping women with depression to feel better than a basic programme will, by measuring the effect the programme has on mood, physical health, and social wellbeing. Their specially designed exercise programme will involve physical exertion at the participants' chosen level of intensity (how hard the body has to work during exercise), and will include motivational support. By contrast, the basic exercise programme will be at an intensity recommended by national guidelines, of the type that may be prescribed by a general practitioner (GP), and will include no extra motivational support.