ABSTRACT: Exercise may be effective in treating depression, but trials testing its effect in depressed women are rare.To compare the effect of exercise of preferred intensity with exercise of prescribed intensity in thirty-eight women living with depression.A Pragmatic RCT of 12 sessions of exercise at preferred intensity compared with 12 sessions at prescribed intensity. Beck Depression Inventory (BDI), Rosenberg Self Esteem Scale (RSES), General Health Questionnaire 12 (GHQ-12), heart rate (HR), Rating of Perceived Exertion Scale (RPE), Quality of Life in Depression Scale (QLDS), Multi-Dimensional Scale of Perceived Social Support (MDSPSS), SF12 Health Survey and exercise participation rates were compared between groups.Intervention participants had statistically better BDI (t = 2.638, df = 36, p = 0.006, 95% mean (SD) 26.5 (10.7), CI-20.4 to -2.7, d = 0.86), GHQ-12 (t = 3.284, df = 36, p = 0.001, mean (SD) 8.3 (3.7) 95% CI -6.5 to -1.5, d = 1.08), RSES (t = 2.045, df = 36, p = 0.024, mean (SD) 11.3 (5.8), 95% CI 0.3 -6.4, d = 0.25), QLDS (t = 1.902, df = 36, p = 0.0325, mean (SD) 15.5 (7.9), 95% CI -12.2 -0.4, d = 0.27) RPE scores (t = 1.755, df = 36, p = 0.0475, mean (SD) 9.2 (3.2), 95% CI -.5 - 5.2, d = 0.77) and attended more exercise sessions (t = 1.781, df = 36, p = 0.0415, number of sessions 8 (65%), 95% CI-0.3 -4.8, d = 0.58). SF-12, MSPSS and HR did not differ significantly between groups.Exercise of preferred intensity improves psychological, physiological and social outcomes, and exercise participation rates in women living with depression.ClinicalTrials.gov: NCT00546221.