Background: Cancer patients must deal with several health challenges, including emotional distress and depressive symptoms. This study aimed to evaluate evidence from published systematic reviews and meta-analyses about the efficacy of exercise on depressive symptoms in cancer patients. Methods: We searched for previous meta-analyses of randomised controlled trials on PubMed, Web of Science and Scopus, with data inception to 30 December 2021. Two independent researchers assessed the methodological quality using the Assessment of Multiple Systematic Reviews 2 (AMSTAR2) instrument. Six meta-analyses were integrated. All included middle-aged and older adults. Five presented moderate quality, and one presented low quality. Results: Overall, a significant reduction in depressive symptoms was observed among the included studies. However, the heterogeneity between studies was high, and high-quality evidence for the efficacy of exercise on depressive symptoms was limited. Conclusions: Exercise could be a possibility in the treatment of depressive symptoms in cancer patients, especially when supervised and outside the home. The better dose of exercise needs to be clarified. More high-quality evidence is needed to better prescribe exercise to this vulnerable population.