Introduction: Depression is a leading cause of disability worldwide. It is recommended that exercise is incorporated into the management of patients with depression, but it is not clear how best to implement this recommendation in clinical practice. Objective: The objective of this study was to evaluate a pragmatic educational intervention promoting exercise to a group of patients diagnosed with depression, in a community setting. Methods: Participants were convenience sampled from community based psychiatry clinics. WHO 5 Wellbeing and International Physical Activity Questionnaire scores were measured for each participant at baseline, and again three months after receiving the educational intervention on exercise. Open ended questions were used to elicit participants' beliefs and barriers to exercise and responses were thematically analysed. Results: Thirty-five patients with depression were enrolled. Three months after the educational intervention, there were no significant changes in patients' activity levels or well-being scores (P > 0.05). Participants' responses to open ended questions revealed their varied, and often contradictory, beliefs on physical activity and exercise. Following from this, their suggestions on ways to improve the uptake of exercise advice highlighted the need for an individualized approach, with persistent patient encouragement and positive reinforcement. Conclusion: This study has generated valuable information on how to improve the promotion of exercise to patients with depression. Advice framed in a positive light, with persistent encouragement and tailoring to individual circumstances, is desired by patients to support their behavioural change.