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Exercise acutely improves mood in major depressive disorder (MDD). However, it is unknown whether benefits differ depending on whether exercise intensity is self-selected or prescribed.This study aimed to compare psychological and biological responses to preferred and prescribed steady-state exercise intensities to a patient-selected preferred intensity.Female adults (N = 24, age = 38.6 ± 14.0 yr) diagnosed with MDD completed four 30-min sessions of cycling exercise at three prescribed intensities (RPE of 11, 13, and 15) and one session with a self-selected intensity (preferred). Order was randomized and counterbalanced. Depressed mood (DM) was evaluated before, 10 min, and 30 min postexercise using the Profile of Mood States. Serum brain-derived neurotrophic factor (BDNF) was measured before and within 10 min postexercise. Changes in BDNF and DM for the preferred session were compared with the following prescribed sessions: 1) performed at the most similar intensity (matched on RPE; closest) and 2) with the greatest improvement in DM (greatest).Compared with the preferred session, improvement in DM was significantly larger after the greatest session (30 min postexercise: −11.8 ± 7.4 vs −3.4 ± 4.8), and the BDNF response was significantly greater after the closest session (5.4 ± 6.9 vs −1.4 ± 9.8 ng·mL−1).Permitting patients to select their own exercise intensity did not maximize improvements in mood. Further, preferred intensity exercise was also associated with a smaller BDNF response. Overall, the results suggest that exercise undertaken to improve mood should be prescribed on an individual basis in MDD and not necessarily based on the patient’s preferred intensity. Clinicians, psychologists, and other practitioners should consider providing clear exercise intensity recommendations for symptom management in depression rather than allowing patients to self-select their intensity.