Physical activity improves cognitive function and reduces depression by enhancing neuroplasticity, increasing mood-enhancing neurochemicals, lowering cortisol levels, and elevating brain-derived neurotrophic factor (BDNF) and endocannabinoid levels. Lifestyle changes such as aromatherapy, dietary adjustments, massage therapy, and mindfulness meditation are also significant. Aromatherapy alleviates stress and anxiety through its effects on the limbic system. Anti-inflammatory diets like the Mediterranean diet and micronutrients (e.g., B vitamins, magnesium, zinc) support brain function and reduce inflammation. Massage therapy promotes relaxation and mood improvement, while mindfulness meditation and pet therapy aid emotional regulation. Sleep hygiene and strong social support are integral to managing mood disorders. Non-pharmacological interventions, including brain stimulation therapies and psychotherapy, offer additional options. Electroconvulsive therapy (ECT) and transcranial magnetic stimulation (TMS) are effective for severe and treatment-resistant depression. Eye movement desensitization and reprocessing (EMDR) addresses trauma-related depression, while phototherapy treats seasonal affective disorder (SAD) by regulating circadian rhythms. Cognitive behavioral therapy (CBT) and interpersonal therapy (IPT) target negative thought patterns and enhance social relationships. Optimal integration into clinical practice requires assessing patient needs, personalizing interventions, and multidisciplinary collaboration. Addressing patient compliance, socioeconomic barriers, cultural sensitivity, and co-occurring conditions is essential. Future research will emphasize technology-enhanced interventions and genetic studies to refine treatments and improve outcomes. This review emphasizes the role of physical activity and lifestyle modifications in preventing, managing, and treating major depressive disorder (MDD).