When I was a in fairly deep depression, the only thing which kept me sane was playing hockey and pushing my cardio to the max every time I stepped on the ice.
The rush of adrenaline and release of endorphins and making my brain engage in something other than why my life is so miserable did wonders for me.
A few years later, I was seeing a psychologist and told her about how hockey in essence saved my life. She posited the same thing. The release of endorphins and adrenaline actually help combat the depression and helped me, at least for periods of time, overcome the feelings of despair and isolation.
There is very little benefit from exercise for people who have depression.
Children and adolescents: http://onlinelibrary.wiley.com/doi/10.1002/14651858.CD004691...
Adults: http://onlinelibrary.wiley.com/doi/10.1002/14651858.CD004366...
Exercise is better than a placebo, if the trial is low quality. Once you get better quality trials the benefit is less significant.
There's some evidence that exercise might build resilience against depression in people currently not depressed.
Link: http://www.ncbi.nlm.nih.gov/pubmed/19453207
From the abstract:
> ...the current meta-analysis examines the effects of exercise on depressive symptoms in 58 randomized trials (n = 2982). An overall effect size of -0.80 indicates participants in the exercise treatment had significantly lower depression scores than those receiving the control treatment. This frac34; SD advantage represents level 1, Grade A evidence for the effects of exercise upon depression.
Note: A single stuidy of 200 people is generally better than 10 studies of 50 people because you can't combine raw data from different studies. And treatments for mental issues are generally only useful for sub populations.