Exercise - YES. What kind? Why? What else?
Undoubtedly, exercise may help. However, there are many questions. What kind of exercise is better? Why the exercise may help? What else can be used? We come inevitably to the question: What is the cause of depression or, generally, of the mental disorder? I my view, the best answer is in the article at http://www.medical-hypotheses.com/article/S0306-9877(08
It explains many important items, including deep-rooted cause of the mental disorder; connection between etiology, pathogenesis, and therapy; and methods for the treatment without medication.