And a quick search of Cochrane shows that when you look at good quality research the benefits of exercise are hard to find.

http://www.cochrane.org/CD004366/DEPRESSN_exercise-for-depre...

> Exercise is moderately more effective than no therapy for reducing symptoms of depression.

[...]

> The reviewers also note that when only high-quality studies were included, the difference between exercise and no therapy is less conclusive.

[...]

> The evidence about whether exercise for depression improves quality of life is inconclusive.

Authors' conclusions:

Exercise is moderately more effective than a control intervention for reducing symptoms of depression, but analysis of methodologically robust trials only shows a smaller effect in favour of exercise. When compared to psychological or pharmacological therapies, exercise appears to be no more effective, though this conclusion is based on a few small trials.