Background/Objectives: The impact of exercise on affective disorders has been demonstrated in various studies. However, almost no data are available on performance effects. Therefore, this study investigated exercise performance related to the severity of depression symptoms in a pre–post within-subjects design in a 6-week standard inpatient psychiatric rehabilitation program. Methods: A total of 53 individuals (20 female; mean age, 40.98 ± 11.33) with a primary diagnosis of depression performed a cardiopulmonary exercise test (CPX) to obtain maximal oxygen uptake (VO2max), maximal power output (Pmax), and the first and second ventilatory threshold (VT1, VT2) at the start and the end of the rehabilitation. Degree of depression was assessed by Becks Depression Inventory (BDI) and the Brief Symptom Inventory test (BSI). Overall activity was measured by accelerometer step-counts. Results: Mean total step-count per day during rehabilitation was high (12,586 ± 2819 steps/day). Patients’ BDI and BSI at entry were 21.6 ± 8.83 and 65.1 ± 6.8, respectively, and decreased significantly (p < 0.001) following rehabilitation, to 10.1 ± 9.5 and 54.5 ± 11.3, respectively. Pmax and VO2max increased significantly (p < 0.001) from entry values (182.6 ± 58.7 W, 29.74 ± 5.92 mL·kg−1·min−1) following rehabilitation: by 11.91 ± 12.09 W and 1.35 ± 2.78 mL·kg−1·min−1, respectively. VT1 and VT2 showed a similar behavior. An increase in physical performance could predict improvement in BDI (R2 = 0.104, F(1,48) = 5.582, p = 0.022) but not in BSI. Conclusions: The program was associated with improved mental health status in all patients and increased performance in the majority of patients, although increases were small. Since improvements in exercise performance may be positively related to depression symptoms and comorbidities, it is recommended to individualize and tailor exercise programs, which could yield larger effects.
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