The purpose of this study was to conduct a pilot clinical trial to test the feasibility and efficacy of an exercise program and anti-depressant treatment compared with usual care in improving the emotional and physical functioning of older adults with minor depression. Participants were 37 older adults with minor depression who were randomized to exercise, sertraline, or usual care; 32 participants completed the 16-week study. Outcomes included measures of both emotional (clinician and self-report) and physical (observed and self-report) functioning. There were trends for the superiority of the exercise and sertraline conditions over usual care in improving SF-36 mental health scores and clinician-rated depression scores. Individuals in the exercise condition showed greater improvements in physical functioning than individuals in the usual care condition. Both sertraline and exercise show promise as treatments for late-life minor depression. However, exercise has the added benefit of improving physical functioning as well.