Background The objective of this systematic review was to analyze the effects of physical activity (PA) intervention as an adjuvant strategy to pharmacological treatment in people with treatment-resistant depression (TRD) and non-remitted depression (NRD). Methods A search strategy was realized from five databases: PubMed, Cochrane Central Register of Controlled Trials, Scopus, SPORTDiscus, and Web of Science. The Physiotherapy Evidence Database and Oxford’s Evidence Levels were used to classify the quality appraisal. Results Of the 10777 records, 11 randomized controlled studies attained the inclusion criteria. The more significant outcome for this analysis was the improvement of depression by PA or exercise in TRD and NRD. According to the FITT (Frequency, Intensity, Time, and Type) principle, there was some variability in the PA intervention, and except for one article, they all were classified as excellent in terms of quality description. Conclusions This review highlights the potential of PA intervention as an adjuvant program to improve different traits of TRD and NRD. The remission of depression seems to be higher after PA intervention, showing improvements in quality of life, sleep quality, executive function, and vitality.