Hi sumbody. I think you need to think of exercising as something you do in addition to doing other things to make your depression better, if that makes sense. I agree with you-- exercise on its own is not sufficient to make you feel better. I am a long-distance runner, and I always have been, even when I was feeling really, really badly every day a few years ago.
I am much happier now, however, and when I don't exercise, I feel ten hundred times worse. My suggestion is to think of exercise as part of a combination of things you need to do for yourself. Don't give up or stop just because it hasn't been a golden ticket to being Not Depressed, you know what I mean?
Hope this helps a little bit. <3