Adults with depression have higher rates of cigarette smoking and are more likely to relapse than those without depression. Pharmacological, psychological, and combined interventions have largely yielded small improvements in smoking outcomes for adults with depression. Aerobic exercise (AE) may facilitate smoking cessation in this subpopulation. This study was a 12-week two-arm randomized controlled trial that evaluated the effect of a moderate-intensity AE program compared to a health education contact (HEC) control on smoking cessation in adults with elevated depressive symptoms (mild to severe). Participants (n = 231) were randomized to AE or HEC and received smoking cessation treatment (telephone counseling and nicotine replacement therapy). Primary (biologically confirmed 7-day point prevalence abstinence) and secondary (depressive symptoms, objective and self-reported physical activity, and cardiorespiratory fitness) outcomes were assessed at baseline, 3, 6, and 12 months. Data were analyzed with mixed-effects generalized linear models controlling for age, gender, nicotine dependence, history of major depression disorder, and month of follow-up assessment. There were no significant differences in primary or secondary outcomes between the AE and HEC groups. The AE program was not superior to HEC in facilitating smoking cessation, increases in physical activity, or improved depressive symptoms. Given evidence for the positive acute effects of exercise on mood and smoking urges, future research should consider testing alternative exercise approaches for aiding smoking cessation beyond structured, AE programs. This study found that an adjunctive aerobic exercise (AE) program was not superior to a health education contact control for adults with elevated depressive symptoms, all of whom also received standard smoking cessation treatment. This finding adds to the growing body of literature that structured AE programs for smoking cessation may have limited efficacy for cessation outcomes. Future research is needed to test alternative methods of integrating AE into smoking cessation treatment, such as strategically using exercise to manage cravings and low mood in the moment.