This study assesses the feasibility of integrating motivational interviewing (MI) with an exercise intervention. It also explores patterns of depressive symptom changes (cognitive, affective, and somatic subscales) and their relationship to cognitive, behavioral, and immunological factors (interleukin 6, IL-6, a marker for inflammation) across the exercise intervention. Twelve young adults (20.8 ± 1.7 years) meeting DSM-IV criteria for major depressive disorder received a brief MI intervention followed by a 12-week exercise intervention. Assessments were conducted preintervention, postintervention, throughout the intervention, and at follow-up. Preliminary results show differential effects of exercise, with the largest standardized mean improvements for the affective subscale (−1.71), followed by cognitive (−1.56) and somatic (−1.39) subscales. A significant relationship was observed between increased behavioral activation and lower levels of IL-6. Despite study limitations, the magnitude of changes suggests that natural remission of depressive symptoms is an unlikely explanation for the findings. A randomized controlled trial has commenced to evaluate effectiveness of the intervention.