Yea, I think people are confusing the effects of exercise in different cases. IMO there are really at least two groups here: A) >= moderately athletic people

Yea, I think people are confusing the effects of exercise in different cases. IMO there are really at least two groups here: A) >= moderately athletic people with above average health and can sustain strenuous cardiovascular activity. For these people going out and exercising is a form of self actualization which IME is a pretty hard counter to depression. It's an "easy" way of being very good at something and that gives people some level of self worth. People on the upper end of this group are also competitive and tend to participate in teams or events that give them lots of social contact with like minded people which helps further. B) The average non-athletic person sitting at home struggling with depression. They can try exercising and it might help but most of the time it's going to cause them to feel self conscious at the gym and worthless when they don't see any progress because they have no training or experience with how to work out (and most of the services claiming to provide such are garbage cash grabs). For these people it'll always be an uphill battle but from the point of view of people in A) they just look like they're not trying. In the end they go home feeling worse off than before because they didn't achieve anything and probably feel that it's yet another thing they can't do well or yet another failed attempt at self help. Even those that get some traction are a long way off from reaching that self actualization stage. tl;dr exercise seems to be about maintaining a lack of depression rather than bootstrapping your way out of it.