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Background Due to the high prevalence of depressive disorders, it is mandatory to develop therapeutic strategies that provide universal access and require limited financial and human resources. Web-based therapeutic approaches fulfill these conditions. Objective The objective of our study was to assess the feasibility, acceptability, and efficacy of a supervised, individualized 8-week Web-based exercise intervention conducted for patients with moderate to severe depression. Methods We recruited 20 patients with unipolar depression and randomly assigned them into 2 groups (intervention, exercise program group, n=14, and control, treatment-as-usual group, n=6). At baseline, depressive symptoms were rated via the Quick Inventory of Depressive Symptomatology (QIDS) by patients themselves (QIDS–self-report, QIDS-SR) and by a blinded psychiatrist (QIDS–clinician rating, QIDS-C). In addition, performance diagnostics (lactate analysis, spiroergometry during a treadmill walking test) were conducted. Quality of life was assessed via the Short Form-36 questionnaire (SF-36) and self-efficacy via the General Self-Efficacy scale (GSE). In addition, habitual physical activity (HPA) was determined via the Baecke questionnaire. Participants of the intervention group received exercise schedules once weekly with endurance and strength training instructions. Rating of depressive symptoms was repeated after 6-12 days and 8 weeks; performance diagnostics and the completion of all the questionnaires were repeated after 8 weeks only. Results The severity of depression subsided significantly in the intervention group after 8 weeks (median change in QIDS-SR: −5; interquartile range, IQR: −2 to −10), although it was already evident within the first 6-12 days (median change in QIDS-SR: −6; IQR: −2 to −8). During the intervention, participants undertook a median of 75 (IQR: 63 to 98) minutes of endurance training per week or 84% (16 [IQR: 9 to 19] of 19 [IQR: 15 to 21]) recommended endurance units in total. In addition, 9 (IQR: 4 to 12) of 10 (IQR: 8 to 13) recommended strength training exercise units were conducted during the 8 weeks. Performance diagnostics revealed a substantial increase in the maximum output in Watt for the intervention group after 8 weeks. Moreover, the intervention showed a favorable effect on SF-36 items “emotional well-being” and “social functioning” as well as on GSE and HPA scores. Conclusions Our individualized Web-based exercise intervention for moderate to severe depression was highly accepted by the patients and led to a significant and clinically relevant improvement of depressive symptoms. Trial Registration ClinicalTrials.gov NCT02874833; https://clinicaltrials.gov/ct2/show/NCT02874833 (Archived by WebCite at http://www.webcitation.org/72ZUUR4tE)