Inflammation has been proposed to play a role in the generation of depressive symptoms. Previously, we demonstrated that patients with major depressive disorder (MDD) have increased plasma levels of the soluble form of the urokinase receptor (suPAR), a marker for low-grade inflammation. The aim of this study was to test the hypothesis that acute exercise would induce inflammatory response characterized by increased suPAR and elucidate whether patients with MDD display altered levels of suPAR in response to acute exercise. A total of 17 patients with MDD and 17 controls were subjected to an exercise challenge. Plasma suPAR (P-suPAR) was analyzed before, during, and after exercise. There was a significantly higher baseline P-suPAR in the patients with MDD, and the dynamic changes of P-suPAR during the exercise were significantly lower in the patients with MDD, compared with the controls. This study supports the hypothesis that an activation of systemic inflammatory processes, measured as elevated P-suPAR, is involved in the pathophysiology of depression. The study concludes that P-suPAR is influenced by acute exercise, most likely due to release from activated neutrophils.