Experts at Yale University in the US and Oxford University led a study of 1.2million people.
The team found those who did the most amount of physical activity - more than five days a week or three hours a day - exhibited mental health issues.
However, they found moderate exercise proved to be more beneficial. Simple activities like household chores or gardening reduced depression by 10%.
"Depression is the leading cause of disability worldwide, and there is an urgent need to find ways to improve mental health through health campaigns, Dr Adam Chekroud, assistant professor of psychiatry at Yale, told the Daily Mail.
"Exercise is associated with a lower mental health burden across people no matter their age, race, gender, household income and education level.
"Excitingly, the specifics of the regime, like the type, duration, and frequency, played an important role in this association. We are now using this to try to … match people with a specific exercise regime that helps improve their mental health."
The findings were originally published in the Lancet Psychiatry journal....