Research continues to support the consideration of exercise as an adjunctive treatment for depression. Adopting a qualitative approach, the aim of this study was to extend our understanding of the motives and barriers to exercise faced by this clinical population, and to explore the role of physical activity in promoting psychological well-being, in a way that encompasses the variability and contextuality of the lives of individuals. Marking a departure from standard content analyses reported in the literature, instrumental case studies are developed that offer a different format for representing qualitative data. Given its longitudinal nature, this study demonstrates the fundamental importance of considering the wider context of participants’ lives in order to understand the relationship between physical activity and psychological well-being. This association is likely to be complex and highly idiosyncratic. Such an understanding may inform a more critical insight into the potential of exercise as an antidepressant in terms of process and effectiveness.