Background: Despite their potential as low-threshold, low-cost and high-flexibility treatments of depression, behavioural activation and physical exercise have not yet been directly compared. This study will examine the effects of these interventions, administered via the Internet. The added effect of providing a treatment rationale will also be studied, as well as a relapse prevention program featuring cognitive behavioural therapy components. Methods/Design: This randomised controlled trial will include 500 participants meeting the diagnostic criteria for major depression, recruited in multiple cycles and randomised to either a waiting list control group with delayed treatment, or one of the four treatment groups: (1) physical exercise without a clear treatment rationale; (2) physical exercise with treatment rationale; (3) behavioural activation with treatment rationale; or (4) behavioural activation without a clear treatment rationale. Post treatment, half of the participants will be offered a relapse prevention program. Primary outcome measure will be the Patient Health Questionnaire 9-item. Secondary measures include diagnostic criteria for depression, as well as self-reported anxiety, physical activity and quality of life. Measurements done via telephone and the Internet -will be collected pre-treatment, weekly during treatment period, immediately post treatment and then monthly during a 24-month follow-up period. Discussion: The results of this study will constitute an important contribution to the body of knowledge of the respective interventions. Limitations are discussed.