Anxiety is common in people with major depressive disorder (MDD), yet the anxiolytic effects of acute exercise in MDD are unknown. The purpose of this analysis was to determine a potentially optimal acute exercise intensity for reducing state anxiety in women with MDD, the duration of the response, and the potential influences of depression severity and preferred-intensity exercise. Using a within-subject, randomized, counter-balanced design, 24 participants completed five separate visits including 20  min of steady-state bicycling at prescribed (viaRPE) light, moderate, or hard intensities, a preferred/self-selected session, or a quiet rest (QR) session. State anxiety was measuredviathe State–Trait Anxiety Inventory (STAI-Y1) and anxiety visual analog scale (VAS) at pre-, immediately (VAS only), 10  min, and 30  min post-exercise. Depression was measuredviathe Beck Depression Inventory (BDI-II) pre-exercise. Moderate exercise resulted in a moderate state anxiety reduction compared to QR 10 min (STAI-Y1:g= 0.59,padj= 0.040) and 30 min post-exercise (STAI-Y1:g= 0.61,padj= 0.032). Pairwise differences indicated each exercise session decreased state anxiety pre to 10 min and 30 min post-exercise (allpadj< 0.05) for the STAI-Y1, and for moderate and hard exercise from pre to each time point post-exercise (allpadj< 0.05) for the VAS. Depression severity was associated with state anxiety (p< 0.01) but did not influence the overall results. Prescribed moderate intensity exercise led to greater reductions in state anxiety compared to preferred at 30 m (STAI-Y1:g= 0.43,p= 0.04). These findings suggest steady-state prescribed moderate exercise reduces state anxiety in women with MDD for at least 30 min following exercise regardless of their depression severity.