We aimed to establish the treatment effect of physical activity for depression in young people through meta-analysis. Four databases were searched to September 2016 for randomised controlled trials of physical activity interventions for adolescents and young adults, 12–25 years, experiencing a diagnosis or threshold symptoms of depression. Random-effects meta-analysis was used to estimate the standardised mean difference (SMD) between physical activity and control conditions. Subgroup analysis and meta-regression investigated potential treatment effect modifiers. Acceptability was estimated using dropout. Trials were assessed against risk of bias domains and overall quality of evidence was assessed using GRADE criteria. Seventeen trials were eligible and 16 provided data from 771 participants showing a large effect of physical activity on depression symptoms compared to controls (SMD = −0.82, 95% CI = −1.02 to −0.61, p < 0.05, I
2 = 38%). The effect remained robust in trials with clinical samples (k = 5, SMD = −0.72, 95% CI = −1.15 to −0.30), and in trials using attention/activity placebo controls (k = 7, SMD = −0.82, 95% CI = −1.05 to −0.59). Dropout was 11% across physical activity arms and equivalent in controls (k = 12, RD = −0.01, 95% CI = −0.04 to 0.03, p = 0.70). However, the quality of RCT-level evidence contributing to the primary analysis was downgraded two levels to LOW (trial-level risk of bias, suspected publication bias), suggesting uncertainty in the size of effect and caution in its interpretation. While physical activity appears to be a promising and acceptable intervention for adolescents and young adults experiencing depression, robust clinical effectiveness trials that minimise risk of bias are required to increase confidence in the current finding. The specific intervention characteristics required to improve depression remain unclear, however best candidates given current evidence may include, but are not limited to, supervised, aerobic-based activity of moderate-to-vigorous intensity, engaged in multiple times per week over eight or more weeks. Further research is needed. (Registration: PROSPERO-CRD 42015024388).