Just to avoid confusion, not all clinical depression is fully treatable by exercise; I've known several people who were severely depressed while also being non-car-owning regular cyclists. Sometimes antidepressants are required. Sometimes therapy is required. Please avoid turning this into "why don't you just exercise".
We can expand this: exercise is moderately better than nothing to treat depression, unless you use good quality studies in which case we don't know if it's better than nothing or not.
http://www.cochrane.org/CD004366/DEPRESSN_exercise-for-depre...
> Exercise is moderately more effective than no therapy for reducing symptoms of depression.
[...]
> The reviewers also note that when only high-quality studies were included, the difference between exercise and no therapy is less conclusive.