Depression is a serious and debilitating psychiatric disease for those affected, and it has a startlingly high lifetime occurrence of approximately 20%. The treatment of depression is complicated by the fact that it is a highly heterogeneous disorder that manifests with symptoms at the psychological, behavioral, and physiological levels. In fact, only about a third of patients respond to conventional antidepressant drug therapy, and novel strategies to treat depression are urgently needed. Physical exercise is a promising non-pharmacological strategy that could serve as a supplementing strategy to current antidepressant treatment. The aim of this study was to evaluate the antidepressant potential of exercise in two distinct rat models of depression, namely a genetic developed depressive rat line, the Flinders Sensitive Line (FSL) and their controls, the Flinders Resistant Line (FRL) rats, and an immunological model in which Sprague Dawley rats were treated chronically (for 8 weeks) with the pro-inflammatory agent lipopolysaccharide (LPS). Rats were either allowed long-term access to a running wheel, or treated with the conventional antidepressant drug imipramine (15 mg/kg/day) or both. Depression- and anxiety-like behaviours were assessed in the forced swim test (FST) and elevated plus maze (EPM), respectively. In addition, several metabolic markers, the mRNA expression of specific proteins suggested to be involved in depression, and the serum concentration of brain-derived neurotrophic factor (BDNF) were measured. The two last-mentioned measurements were only performed in FSL rats. Surprisingly, our main finding from the FSL/FRL model was that the single housing condition, which was required for the accurate measurement of the running activity of each individual rat, changed the characteristic phenotype of these strains in terms of the difference in immobility in the FST, while also influencing certain metabolic markers. We did not find a significant antidepressant-like effect for exercise in FSL rats, although this may be attributed to the low running activity that was observed in these rats. While imipramine alone was also ineffective as an antidepressant in this experiment, the combined exercise-imipramine treatment displayed significant antidepressant-like effects in FSL rats, suggesting that exercise may be a useful adjunct to current antidepressant drug treatment. Our main finding from the LPS-induced model of depression was that, rather than an expected depression-like state, a prolonged sickness behaviour was observed in these rats. LPS increased immobility in the FST, an effect that was reversed by both the exercise and imipramine treatments, and indicates that these treatments may have counteracted the pro-inflammatory action of LPS. Interestingly, the sickness behaviour did not affect the running activity of these rats, which may explain the apparent beneficial effects of exercise in the LPS-induced model versus the FSL/FRL rat model. Overall, these findings suggest that exercise could serve as an alternative therapy on its own, or in combination with current antidepressants in the treatment of depression. However, several confirmatory studies are required in order to support this theory.