Depression has been characterized by lowered mood and unfavorable changes in neural emotional reactivity (altered brain responses to emotional stimuli). Physical exercise is a well-established strategy to improve the mood of healthy and depressed individuals. Increasing evidence suggests that exercise might also improve emotional reactivity in healthy adults by increasing or decreasing brain responses to positive or negative stimuli, respectively. It is unknown, however, if exercise could also benefit emotional reactivity in depressed individuals. We investigated the effects of a single aerobic exercise session on mood and emotional reactivity in 24 depressed and 24 matched healthy young adults. Self-reported mood and neural reactivity to emotional pictures (indexed by the EEG late positive potential, LPP) were assessed before and after two experimental protocols: exercise (36 min of moderate-intensity exercise at 75% of maximal heart rate) and seated rest condition (36 min). In the healthy control group, exercise improved self-reported mood and neural emotional reactivity (increasing LPP to positive pictures). In the depressed group, exercise improved self-reported mood; however, it did not affect neural emotional reactivity. Additional analyses performed on both groups revealed that exercise-induced changes in emotional reactivity are associated with the severity of depressive symptoms: the effectiveness of exercise in improving emotional reactivity decreases with the severity of depressive symptoms. Overall, the study further strengthens the claim of a beneficial role of exercise on mood and emotional reactivity. It also suggests that a single aerobic exercise session might have a limited influence on neural emotional reactivity in depressed individuals.