I used to say to myself "just put your running gear on. You don't have to leave the house. But you can put your running gear on".
then "OK, now go outside. You don't have to run. Just go outside"
some days I would turn around and go back in. And I've have to be OK with that, too. No point beating myself up for it. Some days were not running days.
once outside, I'd be "OK, now run to the end of the street". If I could do that, then most of the time I'd be off and could do 5 km's.
Some days I'd get to the end of the street and stop.
The temptation to beat myself up for the bad days was immense. Huge. Everything in my schooling and upbringing told me that I should just push through the reluctance and "just do it!". But for me, down that road lies worse depression. Being able to say to myself "today is not a running day, and that's OK" was a path out of the intense self-criticism that got me depressed in the first place.
It didn't help that exercise had been used as a punishment in school - "you boy, you're late, run twice around the field!". My schooling had taught me that exercise was punishment. I found it hard to run because I felt like I was punishing myself for something. But if I didn't run then I would criticise myself.
I've got a better handle on it now. Some days I run. Some days I don't. It's up to me. I enjoy running, and enjoy how it makes me feel, so I do it more often than not. But if I don't want to, I won't, and no-one has the right to criticise me for that. Not even me ;)
I KNOW continuous exercise helps, however outside of the above forced circumstance I'm suspicious at this point that I exercise when I'm feeling better and not the other way around..
That's the problem people without depression don't necessarily understand; feeling good often precipitates exercise, and feeling bad often precipitates lethargy. Lethargy so bad you can feel it. I mean REALLY feel it. You can actually feel this lack of motivation working against your desire to do stuff. It's identifiable, experienceable, and yet so oppressive you can't work against it. I would liken it to people freezing in a life-or-death situation; it doesn't make much sense and you wouldn't think it would happen to you, but it's right there and real for no good reason.
EDIT: I would be happy to answer any questions about how depression/anxiety has affected me or my thoughts on it.