I came across this article from The Atlantic, printed last year. The title is For Depression, Prescribing Exercise before Medication, and talks about the research about exercise as a way to lift depression, before medication.
One point the article makes is that as a society, we are told, and perhaps believe, the 'cure' for depression is a pill. One psychiatrist in the article wryly stated, "There are no televised pharmaceutical ads for running." Perhaps if we did, we might be more willing to try to get vigorous exercise as a tool for treating depression.
The hardest part, in my clinical experience, is getting the depressed person "vertical". When in depression, like swimming through molasses, it's difficult to get moving. Indeed, fatigue and decreased energy are symptoms of depression.
Ideally, according to the article, a person should, 3-5 times a week get 45-60 minutes of exercise that gets the heart at 50 to 85 percent of her maximum heart rate. Well, if you haven't left your bed or couch for months, this is asking a lot.
How to get up to that level of exercise? Just like most other difficult or dreaded things, you might need to baby step it. I ask people to just put on their exercise clothes, including shoes, and walk to the mail box and come back inside. The next week we may add walking around the block. If you have a dog, walk him. If you don't, and your neighbor does, offer to walk their dog. The biggest hurdle is being outside initially, for most people. Once they're out and doing it, it gets a little easier. And, as we are having unseasonably warm weather right now, it's not too torturous.
Even if you don't go to the full "prescribed" level of exercise listed above, do consider doing something that gets you moving, gets you out of the molasses, if only for a little while. Just imagine this article is the TV commericial telling you it can help.