The hypothalamic‐pituitary‐adrenal axis, autonomic nervous system, and immune system have been proposed to underlie the antidepressant effect of exercise. Using a population sample of 715 adolescents, we examined whether pathways from exercise to affective and somatic symptoms of depression were mediated by these putative mechanisms. Exercise (hours/week) and depressive symptoms were assessed at age 13.5 (± 0.5) and 16.1 (± 0.6). Cortisol and heart rate responses to a standardized social stress test and C‐reactive protein levels were measured at age 16. Exercise was prospectively and inversely related to affective (B = −0.16, 95% CI = −0.30 to −0.03) but not somatic symptoms (B = −0.04, 95% CI = −0.21 to 0.13). Heart rate during social stress partially mediated this relationship (B = −0.03, 95% CI = −0.07 to −0.01). No other mediating effects were found. Hence, the autonomic stress system may play a role in the relationship between exercise and depressive symptoms.