Technological progress offers the chance to incorporate health interventions into everyday life, for example, on smartphones, which may be beneficial for people with mental illness. However, there is a large gap between what is technically feasible and what is known about effects on everyday life. For example, exercise is known to reduce depression symptoms in general, but specific influences of exercise interventions on everyday life mood, a core issue of depression, have yet to be studied. Therefore, we equipped 15 participants with depression with smartphone diaries for 3 days both before and after a 10-week exercise intervention. The participants answered 83.6% of all queries. Significant cross-level interaction effects in multilevel analyses revealed that people who engaged less in exercise at the start of the intervention showed greater improvements in everyday life mood (valence: b = 5.8; calmness: b = 5.3). Our results may serve as a tiny kick-off paving the way for evidence-based physical activity interventions on smartphones.