Depression, a mental disorder with a high personal, societal, and economic impact, affects at least 20–30% of patients receiving hemodialysis therapy. It is associated with a high mortality rate, low adherence to medication, and a low perceived quality of life. Exercise training is a promising nonpharmacological intervention that can be safely applied to these patients. Beyond the well-publicized physiological benefits of exercise training, a number of studies have focused on the effects of exercise training on mental factors and quality of life parameters including its less appreciated effects on depression symptoms. This evidence-based review article reviews and discusses the effects of exercise training on depression in end-stage renal disease patients.