BACKGROUND: This study aimed to verify, through a randomized controlled trial, whether a medium-intensity mixing/aerobic/anaerobic exercise (accessible to older adults even with mild chronic diseases) can effectively counteract depressive episodes. A characteristic of the trial was that the follow-up coincided (unscheduled) with the lockdown due to COVID-19. METHODS: Participants (n = 120) were randomized into an intervention group, performing physical exercise, and a control group. Participants, aged 65 years and older, belonged to both genders, living at home, and cleared a medical examination, were evaluated with a screening tool to detect depressive episodes, the PHQ9, at pre-treatment, end of the trial (12-week), and follow-up (48-week). RESULTS: A decrease in the frequency of depressive episodes after the trial (T1) was found in both groups; however, a statistically significant difference was observed only in the control group (p = 0.0039). From T1 to follow-up (conducted during the lockdown), the frequency of depressive episodes increased in the control group, reaching a frequency equal to the time of study entry (p = 0.788). In the experimental group, the frequency of depressive episodes did not change at the end of the trial but reached a statistically significant difference compared to the start of the study (p = 0.004) and was higher than the control group (p = 0.028). CONCLUSIONS: Moderate-intensity physical exercise can be conducted safely, benefitting older adults even suffering from mild chronic disorders. Physical exercise seems to guarantee a long-term preventive effect towards depressive symptoms, especially in serious stressful situations such as the lockdown due to the COVID-19 pandemic. Clinical Trial Registration Number NCT03858114.

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