The genetic effect of Brain-derived neurotrophic factor (BDNF) on treatment response in depression is not consistent in the literature. Childhood adversity is a known risk factor for depression which has been reported to increase depression susceptibility by interacting with BDNF genetic variation. We aimed to explore whether the BDNF variation Val66Met and childhood adversity (CA) predicted the treatment response to a 12-week intervention with physical exercise (PE) or internet-based cognitive behavioural therapy (ICBT) when compared with treatment as usual (TAU). A prospective cohort study nested within a randomised control trial was conducted using data from 547 participants with mild to moderate depression. Depression severity at baseline and follow-up was measured using the Montgomery-Åsberg Depression Rating Scale. Met allele carriers without exposure to CA and current antidepressant use showed higher treatment response to PE than Val homozygotes. There was no evidence to support that BDNF Val66Met or CA alone predicted treatment response to PE and ICBT. The Met carriers had higher serum mature BDNF level. These data suggest that Met allele carriers benefit more from PE treatment but only if they are not exposed to early adversity.