Research on the interorgan interaction mechanisms of depression is a current hotspot in the field of neuroscience. As an important endocrine organ, bone secretes bone-derived factors—such as uncarboxylated osteocalcin (ucOCN), lipocalin-2 (LCN2), and Dickkopf-related protein 1 (DKK-1)—into the bloodstream. These factors can then act on tissues and organs like the adrenal glands and hypothalamus via the circulatory system. Furthermore, these factors can cross the blood-brain barrier and enter the brain, subsequently influencing brain structure and function in regions such as the hippocampus and prefrontal cortex. This is achieved by modulating neuroendocrine activities (e.g., glucocorticoids, corticotropin-releasing hormone), neurotransmitter secretion (e.g., serotonin [5-HT], dopamine [DA]) in various brain regions, blood metal ion concentrations (e.g., iron, magnesium), and by mediating signaling pathways such as PGC-1α/FNDC5/BDNF and GSK-3β/β-catenin. These processes collectively regulate the onset or amelioration of depression. Studies have confirmed that exercise significantly alleviates depression, and its mechanism is closely associated with the increased expression of bone-derived factors like ucOCN, LCN2, and DKK-1, which in turn regulate neuroendocrine functions, neurotransmitters, and gene expression. Although current research has analyzed the mechanisms of one or several factors, a more comprehensive review is lacking. Based on this, this paper will explore, synthesize, and identify issues regarding the mechanism of bone-derived factors in exercise-induced improvement of depression. On one hand, this will contribute to a deeper understanding of bone's endocrine functions; on the other hand, it can provide a new theoretical foundation and research perspectives for investigating the mechanisms of depression and the antidepressant effects of exercise.