Our main findings were: (i) RT improved handgrip strength; (ii) RT tempered the redox balance, increasing antioxidant defense (TROLOX and GSH) and decreasing pro-oxidative TBARS; (iii) RT improved serum BDNF levels; (iv) RT improved quality of life (assessed through Medical Outcomes Study 36—SF36); (v) Depressive symptoms intensity (assessed through Beck Depression Inventory—BDI); and (vi) serum BDNF levels were associated with role emotional, emotional well-being, Beck Depression Inventory, and handgrip strength. This evidence concerns the gene BDNF and major depressive disorder.