Depressive disorders constitute a series of debilitating diseases. This study investigated the therapeutic effect of agomelatine (AG) combined with aerobic exercise (AE) on patients with moderate-severe depression (MSD) and the changes of the serum C-reactive protein (CRP) level in patients after treatment as well as its significance. A total of 178 MSD patients were randomly assigned to the AG group (N = 90) and AG + AE group (N = 88). The severity of depressive disorders and anhedonia was assessed using the Hamilton Rating Scale for Depression (HAM-D), Beck Depression Inventory, and Snaith-Hamilton Pleasure Scale scores. The serum CRP level in MSD patients was detected by turbidity assay. Patients were defined as remitters, responders, and nonresponders according to the HAM-D17 score, and the treatment efficacy was analyzed, followed by evaluation of the serum CRP level in patients with different treatment responses. Finally, the adverse reactions of patients during treatment were statistically analyzed. After treatment, the HAM-D, Beck Depression Inventory, and Snaith-Hamilton Pleasure Scale scores and the serum CRP level of the 2 groups were reduced, and changes in the AG + AE group was more significant than that in the AG group. The clinical efficacy of the AG + AE group was better than that of the AG group. After treatment, the serum levels of CRP in remitters and responders were reduced, but not significantly in nonresponders. The incidence of adverse events in the AG + AE group was lower than that in the AG group. AG + AE reduced the serum level of CRP in MSD patients and had good therapeutic effects on MSD patients.