Patients with chronic inflammation present increased blood levels of circulating cytokines and often are associated with symptoms of depression. The activation of the immune cells microglia in the brain of depressed patients has been associated with a greater prevalence of suicide, indicating a crucial role of neuroinflammation in the neuropathology of depression. In the modern lifestyle, decreased physical activity and increased sedentarism have emerged as risk factors for mental disorders, including depression. The literature is very consistent that exercise is an antidepressant; however, the molecular mechanisms responsible for these beneficial effects are far from being completely defined. We present evidence on the role of exercise in reducing neuroinflammation and inhibiting the assembly of the inflammasome in the context of depression, focusing on the potential immunomodulatory role of the biomarker neopterin.