When you only include well run studies you find minimal benefit for exercise vs no treatment -- it's a little bit better than not doing anything. There's no reason to expect this would be different for exercise vs treatment -- when you use good quality trials you will probably see very little benefit, and the benefit of actually getting a real fucking treatment is probably going to be better.
http://onlinelibrary.wiley.com/doi/10.1002/14651858.CD004366...
Here's the authors extract for clarity:
> 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.
> exercise
There is only weak evidence of the psychological benefit of exercise.
Exercise is useful for other reasons, but please don't use words like "proven" when talking about fixing low mood.