You have no understanding of their wider life and concerns, and people asking for big life change help can be surprisingly susceptible to advice.
I’m not trying to be snarky, I’ve seen way more advices on getting therapy rather than start lifting weight. I don’t have an opinion one way or another, but when I read the GP advice, I thought it was the one being unusual rather than common
...unless you care to show me clear evidence that therapy is effective in aggregate
https://www.mcsweeneys.net/articles/a-scathing-review-of-you... was a joke until I read this comment.
By all means give weights (or running, cycling, whatever) a go, but stay with the therapy.
Better to listen to professionals rather than some rando on the web.
NEVER, EVER, suggest dropping therapy to someone with depression.
If the problem is that you feel things are gonna be a slow decline from here, then fight it. Make that your new goal, even if you know it to be a losing battle. It will focus your mind on demonstrable milestones like hitting new deadlift personal best.
Even if you do something else, at the very least recognize that you've gotten to the point where you don't need to focus on the "work" and "money" part of life; as such treat this as an opportunity to focus on something new. After all, we only have a limited time on this earth to experience the things you want to do. This crisis is your mind's way of saying "I haven't done something I wished I had done." It isn't bad, it's just cognitive dissonance. Find the root of that dissonance and do that which would resolve the problems keeping you from finding fulfillment. This process will be emotionally painful but also cathartic.
Best of luck; know that every man has it within them to pull through this and come out the other end happy and fulfilled. So long as you are willing to question everything about why you are the way you currently are, you will eventually seek out the truths you need to proceed.