To report the comparative benefits and harms of exercise and complementary and alternative medicine (CAM) treatments with second-generation antidepressants (SGA) for major depressive disorder (MDD). Systematic review and meta-analysis. Outpatient clinics. Adults, aged 18 years and older, with MDD receiving an initial treatment attempt with SGA. Any CAM or exercise intervention compared with an SGA. Treatment response, remission, change in depression rating, adverse events, treatment discontinuation, and treatment discontinuation due to adverse events. We found 22 randomized controlled trials for direct comparisons and 127 trials for network meta-analyses, including trials of acupuncture, omega-3 fatty acids, S-adenosyl methionine, St. John's wort, and exercise. For most treatment comparisons, we found no differences between treatment groups for response and remission. However, the risk of bias of these studies led us to conclude that the strength of evidence for these findings was either low or insufficient. The risk of treatment harms and treatment discontinuation attributed to adverse events was higher for selective serotonin receptor inhibitors than for St. John's wort. Although we found little difference in the comparative efficacy of most CAM therapies or exercise and SGAs, the overall poor quality of the available evidence base tempers any conclusions that we might draw from those trials. Future trials should incorporate patient-oriented outcomes, treatment expectancy, depressive severity, and harms assessments into their designs; antidepressants should be administered over their full dosage ranges; and larger trials using methods to reduce sampling bias are needed.