Physical exercise is a low-cost and easy-to-implement therapeutic option proposed to reduce the negative effect of depression on the executive function cognitive dimension, including working memory, inhibition, and cognitive flexibility. Although a considerable amount of scientific literature on the topic is currently available, the effects of physical exercise interventions on the executive functions in adults with depression remain unclear. The aim of this review protocol is to synthesize the effects of physical exercise interventions on executive functions in adults with depression. Databases including Web of Science, PubMed, Scopus, and EBSCO will be searched for studies by combining keywords and different medical subject headings to identify and evaluate the relevant studies from inception up to September 2022. This study will consider longitudinal studies (duration, ≥3 weeks) with a minimum of one experimental group and pre- and post-intervention measurements involving adults with depression aged 18–65 years. Studies will be included if these reported ≥1 measures of executive function, including dimensions of working memory, inhibition, and cognitive flexibility. The Physiotherapy Evidence Database (PEDro) scale will be used to assess the methodological quality of studies. The DerSimonian and Laird random-effects model will be used for meta-analyses, with effect size (ES, i.e., Hedges’ g) values reported with 95% confidence intervals (95% CIs), and p ≤ 0.05 will indicate statistical significance. The ES values will be calculated for working memory, inhibition, and cognitive flexibility in the experimental and control groups before and after the intervention program. (...)