Objectives: To evaluate the effect of different exercise interventions on depressive symptoms in children and adolescents. Methods: Randomized controlled trials (RCT) published until May 2023 were screened in four databases. The Cochrane collaboration tool was used to assess the risk of bias for quality evaluation. Stata 16.0 software was used for both a pairwise meta-analysis and a series of frequentist network meta-analyses (NMA). Results: A total of 35 RCTs and 5393 participants were included. Aerobic exercise had the most significant effect on depressive symptoms (66.2%), followed by group training (62.5%), resistance exercise (59.0%), and aerobic combined with resistance exercise (57.9%). Furthermore, children and adolescents younger than 15 years showed significant improvement in depressive symptoms (SMD=-0.41, 95% CI (-0.63, -0.19), P < 0.01). The study also found a significant improvement in depression among healthy, obesity, and depressed populations (SMD=-0.25, 95% CI (-0.41, -0.08), P < 0.01); SMD=-0.15, 95% CI (-0.31, -0.00), P < 0.01; SMD=-0.75, 95% CI (-1.32, -0.19), P < 0.01). Additionally, 30 min of exercise had a significant effect (SMD=-0.14, 95% CI (-0,81, -0.01), P < 0.01), and 40–50 min of exercise had the best effect (SMD=-0.17, 95% CI (-0,33, -0.02), P < 0.01). Lastly, exercise frequency of three times per week was significant in children and adolescents (SMD=-0.42, 95% CI (-0,66, -0.18), P < 0.01). Conclusion: Exercise significantly improves depressive symptoms in children and adolescents, with aerobic exercise having the most significant effect. A 12-week, three-times-a-week, 40-50-minute exercise intervention was found to be more effective in younger children and adolescents.