As others have stated, a lot depends on whether or not its strictly clinical depression.
I've suffered from both clinical and psychological depression for years now. I don't even know which came first. But last year, with the help of a nutritionist and gym coach, I launched a consistent program of frequent exercise and proper nutrition. I lost 94 pounds, very slowly and sensibly, and gained a lot of energy and feelings of well being. Unfortunately, I didn't attend to my brain/feelings as much as to my body - didn't get on meds or seek therapy - and eventually got totally overwhelmed by the "new me." One year later, I've stopped all the exercise, gained back 90 pounds, and am quite the mess.
So, yes, exercise distracted me from the more obvious signs of depression and brought me to a better place . . . for a while . . . But you've got to clean the inside of the house as well as the grounds.
Hopefully, for you, the endorphin rush of exercise alone will be enough to help!