Background: Regular physical exercise may improve a variety of physiological and psychological factors in depressive persons. However, there is little experimental evidence to support this assumption for adolescent populations. We conducted a randomized controlled trial to investigate the effect of physical exercise on depressive state, the excretions of stress hormones and physiological fitness variables in adolescent females with depressive symptoms. Methods: Forty-nine female volunteers (aged 18–20 years; mean 18.8 ± 0.7 years) with mild-to-moderate depressive symptoms, as measured by the Centre for Epidemiologic Studies Depression (CES-D) scale, were randomly assigned to either an exercise regimen or usual daily activities for 8 weeks. The subjects were then crossed over to the alternate regimen for an additional 8-week period. The exercise program consisted of five 50-min sessions per week of a group jogging training at a mild intensity. The variables measured were CES-D rating scale, urinary cortisol and epinephrine levels, and cardiorespiratory factors at rest and during exercise endurance test. Results: After the sessions of exercise the CES-D total depressive score showed a significant decrease, whereas no effect was observed after the period of usual daily activities (ANOVA). Twenty-four hour excretions of cortisol and epinephrine in urine were reduced due to the exercise regimen. The training group had a significantly reduced resting heart rate and increased peak oxygen uptake and lung capacity. Conclusions: The findings of this study suggest that a group jogging exercise may be effective in improving depressive state, hormonal response to stress and physiological fitness of adolescent females with depressive symptoms.