By induction and analysis, SIRT1 can be activated by exercise and then improve the function of the hypothalamic–pituitary–adrenal (HPA) axis by upregulating brain-derived neurotrophic factors (BDNF), inhibit the inflammatory response (suppression of the NF-κB and TNF-α/indoleamine 2,3-dioxygenase (IDO)/5-Hydroxytryptamine (5-HT) pathways), and promote neurogenesis (activation of the insulin-like growth factor1 (IGF-1) and growth-associated protein-43 (GAP-43) pathways, etc.), thereby improving depression. This evidence concerns the gene BDNF and major depressive disorder.