Objective To estimate the effect of exercise on perinatal depressive symptoms, focusing on subclinical depression. Methods Randomized controlled trials (RCTs) reporting Edinburgh Postnatal Depression Scale (EPDS) scores and evaluating perinatal exercise interventions were eligible. A systematic search was conducted in MEDLINE/PubMed, Web of Science, Scopus, and the Cochrane Library for studies published between 2000 and 2024. Study quality, risk of bias, and heterogeneity were assessed before synthesizing the results using a random-effects model. Results Nine RCTs met the inclusion criteria. Exercise significantly reduced depressive symptoms (SMD = −0.47; 95% CI = −0.86 to −0.08; p = 0.02) despite high heterogeneity (I 2 = 88%). Subgroup analyses showed stronger effects during pregnancy (SMD = −0.77; 95% CI = −1.40 to −0.15) than in the postpartum period (SMD = −0.05; 95% CI = −0.31 to 0.22). Conclusion Exercise effectively reduces perinatal depressive symptoms and represents a valuable public health intervention. Longer follow-up periods (≥6 months) are needed to confirm the durability of benefits and to evaluate maternal and child outcomes. Future high-quality RCTs with standardized exercise protocols (≥150 min/week of moderate activity) will be essential to translate this evidence into actionable public health and clinical guidelines.