It's almost like there's not a single good answer like saying "all ya gotta do is go out there and buck up and excercise!!".
Like any sickness, you talk to a health professional and figure out what treatments work. Going your own sucks and is a bad time regardless of how highly-functioning you are.
This is not accurate, depression is just not clear cut like that. A depressed person can be fully high-functioning from the outside, even...
Quite a few people don't exercise for other reasons (time, aversion), in fact, I'd say those are all much more likely reasons than depression, but may also lead to depression.