The hypothalamic-pituitary-adrenal axis, autonomic nervous system, and immune system have been proposed to underlie the antidepressant effect of exercise. Using a population sample of 715 adolescents, we examined whether pathways from exercise to affective and somatic symptoms of depression were mediated by these putative mechanisms. Exercise (hours/week) and depressive symptoms were assessed at age 13.5 (+/- 0.5) and 16.1 (+/- 0.6). Cortisol and heart rate responses to a standardized social stress test and C-reactive protein levels were measured at age 16. Exercise was prospectively and inversely related to affective (B=-0.16, 95% CI=-0.30 to -0.03) but not somatic symptoms (B=-0.04, 95% CI=-0.21 to 0.13). Heart rate during social stress partially mediated this relationship (B=-0.03, 95% CI=-0.07 to -0.01). No other mediating effects were found. Hence, the autonomic stress system may play a role in the relationship between exercise and depressive symptoms.