Major depressive disorder is often comorbid with diabetes and associated with worse glycemic control. Exercise improves glycemic control and depression, and thus could be a parsimonious intervention for patients with comorbid diabetes and major depression. Because patients with diabetes and comorbid depression are often sedentary and lack motivation to exercise, we developed a group exercise intervention that integrates strategies from behavioral activation therapy for depression to increase motivation for and enjoyment of exercise. We conducted a 6-month pilot randomized controlled trial to test the feasibility of the behavioral activation exercise intervention (EX) for women with diabetes and depression. Of the 715 individuals who contacted us about the study, 29 participants were randomized to the EX condition or an enhanced usual care condition (EUC), which represents 4.1% of participants who initially contacted us. Inclusion criteria made recruitment challenging and limits the feasibility of recruiting women with diabetes and depression for a larger trial of the intervention. Retention was 96.5% and 86.2% at 3 and 6 months. Participants reported high treatment acceptability; use of behavioral activation strategies and exercise class attendance was acceptable. No condition differences were observed for glycemic control, depressive symptoms, and physical activity, though depressive symptoms and self-reported physical activity improved over time. Compared to participants in the EUC condition, participants in the EX condition reported greater exercise enjoyment and no increase in avoidance behavior over time. Using behavioral activation strategies to increase exercise is feasible in a group exercise setting. However, whether these strategies can be delivered in a less intensive manner to a broader population of sedentary adults, for greater initiation and maintenance of physical activity, deserves further study.