In the largest survey of its kind, researchers monitored 33,908 “healthy” Norwegians for more than 11 years. The cohort of adults were selected on the basis of having no symptoms of common mental disorder or limiting physical health conditions. Validated measures of exercise, depression, anxiety, and a range of potential confounding and mediating factors were collected. The practice of regular leisure-time exercise was associated with a reduced incidence of future depression but not of anxiety. The majority of this protective effect occurred at low levels of exercise and was observed regardless of intensity. After adjustment for confounders, the population attributable fraction suggests that, assuming the relationship is causal, researchers estimated that 12% of future cases of depression could have been prevented by just one hour of exercise per week.