The purpose of this paper is to assess the effect of two supervised physical exercise interventions in the workplace on quality of life and depressive symptomatology. A pre-experimental study was conducted on workers with sedentary occupations from three different companies and sectors: (1) Renewable energy engineering; (2) Insurance and (3) Infrastructure and services. The participants from the first two were administered a supervised physical exercise program in three Spanish corporate headquarters: Madrid, Navarre, the Basque Country and Madrid, respectively (PRODET→; n = 23; mean age 44.38 ± 4.91 years). The third company carried out another physical exercise intervention in a single corporate headquarters in Madrid (HASAVI; n = 27; mean age 39.25 ± 9.83). A pre- and post-test intragroup analysis of quality of life and depressive symptomatology was performed. The PRODETⓇ program found a reduction in body pain in workers at the Madrid headquarters of the renewable engineering company (p = 0.024; η2 = 0.18). In this same company, improvements in global physical health scores were found in the Navarre headquarters (p = 0.009; η2 = 0.40), as well as in the insurance company (p = 0.048; η2 = 0.10). An increase in general health was found in the Basque Country headquarters (p = 0.034; η2 = 0.33). The HASAVI program achieved a significant improvement in vitality (p = 0.041; η2 = 0.09). Both programs found a significant reduction in depressive symptoms in workers in the insurance and infrastructure and services company (p = 0.044; η2 = 0.12; p = 0.045; η2 = 0.10, respectively). The PRODETⓇ supervised physical exercise program could be effective in improving the quality of life of office employees in the sectors studied. Both programs could influence the decrease in depressive symptomatology.