Depression has become one of the most important causes of disability worldwide. Although traditional treatment methods such as drug therapy, physical therapy and psychological intervention have positive effects, they still have limitations such as high treatment cost, high drug side effects, high recurrence rate and poor compliance. Exercise therapy, as a treatment recommended by many guidelines, has many advantages such as simple and convenient, few side effects, and strong persistence. Studies have shown that exercise can relieve depression through a variety of mechanisms, but there is still a lack of effective targets for the treatment of depression. Microglia is an innate immune cell in the central nervous system. In recent years, the role of microglia in neuroinflammation in depression and other mental diseases has attracted more and more attention. Thus, microglia may be a key target for exercise to alleviate depression. This article discusses the relationship between exercise and microglia phenotypes as well as depression, and proposes future research directions on microglia-mediated exercise to improve depression, in order to provide new ideas and directions for the clinical treatment of depression.