Depression is a very common disease that affects 121 million people all around the world, especially women. Some studies have demonstrated the benefits of physical activity in order to decrease depression symptoms, but there is no consensus about the physical exercise that best prevents from depression attending to each stage of life in young women. The aim of this revision is to explore if physical activity prevents from depression in young women. Besides, this study is intended to classify the best type of exercise to mitigate depression for each stage of life. An exhaustive scientific literature research has been made for four sport and health-specific research databases (PubMed, SCOPUS, EBSCOHost and Dialnet). 551 results were gathered and 25 of them were relevant to this study, taking into account the following considerations: Articles should have been written in English or Spanish. Articles should have been written in 2008-2018 period. Article samples should have included young women (less than 40 years old). All articles were classified taking into account the stage of life studied. Physical exercise can reduce depressive symptoms for every stage of life but postpartum in young women. Doing regular physical activity in early stages of life and doing moderate physical activity (for pregnant and women in disadvantaged environments) have been found to be good practices in order to mitigate depression. Regular and moderate physical activity helps to reduce depressive episodes and to enhance self-esteem among young women (with the exception of postpartum women).