Background Only one‐third of patients with major depressive disorder (MDD) achieve remission with initial treatment. Consequently, current clinical practice relies on a “trial‐and‐error” approach to identify an effective treatment for each patient. The purpose of this report was to determine whether we could identify a set of clinical and biological parameters with potential clinical utility for prescription of exercise for treatment of MDD in a secondary analysis of the Treatment with Exercise Augmentation in Depression (TREAD) trial. Methods Participants with nonremitted MDD were randomized to one of two exercise doses for 12 weeks. Participants were categorized as “remitters” (≤12 on the IDS‐C), nonresponders (<30% drop in IDS‐C), or neither. The least absolute shrinkage and selection operator (LASSO) and random forests were used to evaluate 30 variables as predictors of both remission and nonresponse. Predictors were used to model treatment outcomes using logistic regression. Results Of the 122 participants, 36 were categorized as remitters (29.5%), 56 as nonresponders (45.9%), and 30 as neither (24.6%). Predictors of remission were higher levels of brain‐derived neurotrophic factor (BDNF) and IL‐1B, greater depressive symptom severity, and higher postexercise positive affect. Predictors of treatment nonresponse were low cardiorespiratory fitness, lower levels of IL‐6 and BDNF, and lower postexercise positive affect. Models including these predictors resulted in predictive values greater than 70% (true predicted remitters/all predicted remitters) with specificities greater than 25% (true predicted remitters/all remitters). Conclusions Results indicate feasibility in identifying patients who will either remit or not respond to exercise as a treatment for MDD utilizing a clinical decision model that incorporates multiple patient characteristics.