It's important that people get exercise, and it might have protective preventative effects, but it's a bad thing that people keep pushing exercise as some kind of miracle cure for depression.

To put it better: Physical Activity.

Exercise is a subset of physical activity. You could be building something, say a fence, or working on a farm, without particularly exerting yourself, and I bet it would have the same anti-depressant and life-extension benefits as rigorous exercise.

In fact, I suspect that we might be able leave out "physical" — that even sufficient mental stimulation without physical exertion, say working on a computer program, or a close match of Chess or Go with a good friend, may have the same benefits, as long as you don't let your physical aspects suffer; maintain good posture, keep a healthy diet, and take regular breaks.

So I think the best anti-depressant is basically to be involved in something that you believe is improving your self, in something you see as progress, without neglecting your physical health.

Exercise just happens to check off most of those boxes.