A new study debunks the popular belief that exercise helps depression. From the conclusion of the study:

The results of this trial does not support any antidepressant effect of referring patients with major depression to a three months aerobic exercise program. Due to lower recruitment than anticipated, the trial was terminated prior to reaching the pre-defined sample size of 212 participants; therefore the results should be interpreted in that context. However, the DEMO-II trial does suggest that an exercise program for patients with depression offer positive short-term effects on maximal oxygen uptake, visuospatial memory, fasting glucose levels, and waist circumference.