Background: Rheumatoid arthritis (RA) is characterized by low physical fitness, pain, and depression. The present study aimed to examine the effects of a supervised aquatic exercise program on physical fitness, depression, and pain in women with RA and determine whether decreases in pain mediate depression. Methods: Forty-three women with RA, divided into an experimental group (EG; n = 21) and a control group (CG; n = 23), participated in a 12-week exercise program. Treatment effects were calculated via standardized difference or effect size (ES) using ANCOVA adjusted for baseline values (ES, 95% confidence interval (CI)). A simple panel of mediation was executed to determine whether changes in pain mediated improvements in depression after controlling for confounding variables, such as age, physical activity, and body mass index (BMI). Results: The aquatic exercise program had trivial and small effects on physical fitness, large effects on pain, and moderate effects on depression. The mediation model confirmed the indirect effect of pain on the decrease of depression in the participants of the aquatic exercise program. Conclusions: Participants with RA in the aquatic exercise program experienced improvements in physical fitness, depression, and joint pain. Moreover, the improvements in joint pain mediated improvements in depression.