Research on organ-interaction depression mechanisms is a current hotspot in neuroscience. As a vital endocrine organ, the skeleton secretes bone-derived factors into the bloodstream, including uncarboxylated osteocalcin (ucOCN), lipocalin-2 ( LCN2), and Dickkopf-related protein 1 (DKK-1). These factors then act on tissues and organs such as the adrenal glands and hypothalamus, and can cross the blood-brain barrier to enter the brain; there, they influence neuroendocrine systems (such as glucOCNorticoids and corticotropin-releasing hormone), modulate neurotransmitter secretion (such as serotonin and dopamine), affect blood metal ion concentrations (such as iron and magnesium), and mediate core signaling pathways such as PGC-1α/ Ⅲ, FNDC5 / BDNF, and GSK-3β/ β- catenin. These changes affect brain structures such as the hippocampus and prefrontal cortex, regulating depression onset or improvement. Exercise significantly improves depression, with mechanisms closely linked to increased expression of osteogenic factors such as ucOCN, LCN2, and DKK-1, which regulate neuroendocrine, neurotransmitter, and gene expression. While current research mostly focuses on the mechanisms of individual factors acting alone, comprehensive reviews remain scarce. This review explores the mechanisms by which osteogenic factors promote exercise-induced depression improvement by assessing existing research findings and identifying key issues. These findings contribute to further elucidating the functions of osteoendocrine signaling and open new theoretical perspectives and research pathways for investigating depression pathogenesis and exploring exercise-based interventions.