Perinatal depression affects 10–20% of women and has wide-ranging consequences for the mothers and their families. Although antidepressant medications are widely used to treat depression, many perinatal women express interest in alternative treatment options. Physical activity interventions may be particularly useful in perinatal populations given high rates of physical inactivity and the potential benefits associated with physical activity. We review research addressing the relationship between physical activity and mood across the perinatal period, with an emphasis on both naturalistic and intervention research. Evidence indicates that physical activity interventions may be an effective intervention for perinatal depression, but rigorous randomized controlled trials are needed to determine the efficacy of these interventions. We conclude with recommendations for future research in this area.