Psychosocial factors predicting treatment dropout or failure to benefit from treatment were identified in a randomized trial of exercise therapy and pharmacotherapy for major depression. One hundred fifty-six men and women over age 50 diagnosed with major depressive disorder were assigned to a 16-week program of aerobic exercise, medication (sertraline), or a combination of exercise and medication. Thirty-two patients (21%) failed to complete the program and were considered treatment "dropouts." At the end of 16 weeks, 83 patients (53%) were in remission; the remaining patients not in remission were considered treatment "failures." Baseline levels of self-reported anxiety and lift satisfaction were the best predictors of both patient dropout and treatment success or failure across all treatment conditions.