This exploratory randomized controlled trial aims to investigate the immediate and long-term effects of exercise on sleep quality, emotional problems, executive function, and neurophysiological characteristics in college students with depressive symptoms. The study consists of two sequential phases: an acute exercise experiment followed by an 8-week exercise intervention. Participants will be randomly assigned to either an exercise intervention group or a control group. Psychological questionnaires, behavioral tasks, resting-state electroencephalography (EEG), brain functional connectivity, and event-related potentials (ERP) will be assessed to evaluate behavioral and neurophysiological changes before and after exercise. The study will further examine whether the immediate response to acute exercise predicts the effectiveness of the long-term intervention.