Insomnia predicts the onset, course, and reoccurrence of unipolar depression. However, systematic reviews of treatment options for insomnia in unipolar depression are lacking. After screening 7725 records, 17 trials comprising 1645 patients randomized to 13 treatments were included for quantitative synthesis. Network meta-analysis showed that compared to a passive control condition, all exercise interventions except moderate aerobic exercise alone resulted in significantly better sleep outcomes. Compared with treatment as usual, mind-body exercise plus treatment as usual (SMD: −0.46; 95% CI: −0.80, −0.12) and vigorous strength exercise (SMD: −0.61; 95% CI: −1.12, −0.10) were significantly more effective. Pairwise meta-analyses showed that mind-body exercise (SMD: −0.54; 95% CI: −0.85, −0.23) had beneficial effects compared to passive control. The network meta-analysis is statistically very robust with low heterogeneity, incoherence, and indirectness. However, confidence in the findings was moderate to very low, primarily due to within-study bias. This is the first network meta-analysis to assess exercise's efficacy to improve sleep quality in patients with depression. The findings confirm the benefits of exercise as an add-on treatment for depression. This consolidation of the current state of evidence can help clinicians make evidence-based decisions.