Background In laboratory studies, exercise immediately before sexual stimuli improved sexual arousal of women taking antidepressants [1]. We evaluated if exercise improves sexual desire, orgasm, and global sexual functioning in women experiencing antidepressant‐induced sexual side effects. Methods Fifty‐two women who were reporting antidepressant sexual side effects were followed for 3 weeks of sexual activity only. They were randomized to complete either three weeks of exercise immediately before sexual activity (3×/week) or 3 weeks of exercise separate from sexual activity (3×/week). At the end of the first exercise arm, participants crossed to the other. We measured sexual functioning, sexual satisfaction, depression, and physical health. Results Exercise immediately prior to sexual activity significantly improved sexual desire and, for women with sexual dysfunction at baseline, global sexual function. Scheduling regular sexual activity significantly improved orgasm function; exercise did not increase this benefit. Neither regular sexual activity nor exercise significantly changed sexual satisfaction. Conclusions Scheduling regular sexual activity and exercise may be an effective tool for the behavioral management of sexual side effects of antidepressants.