It's not entirely clear to me from reading the points in this article and skimming the paper that they are able to control the direction of causality for this. That is the question as to whether or not "healthy" activity prevents depression or if depression causes us to reduce our healthy activity (and increase our unhealthy ones).
The pandemic has been a great experiment in this and has me starting to think that many of these studies might have the causal arrow wrong. I absolutely spent less time on the screen, ran more often, drank much less and slept better immediately before the pandemic.
Running as an example became much harder to do emotionally after the a few months of the stress induced by the pandemic. The lack of other runners out there seemed to confirm that other people were also feeling this impact.
I spend more time glued to the screen "doom scrolling" and you can bet my drinking is up as well.
But it's certainly not like all of these behaviors happened and then stress set in (in this case I wouldn't say "depressed" as much as "stressed", ironically I'm probably the least depressed that I've been in years).
It seems to me much more likely that compulsive behaviors in general, and in this case especially the example of screen time are produced by the depression rather than it's causes.
Certainly there is the possibility of positive feed backs: depression causes excessive drinking which unchecked can clearly lead to more depression. Same goes for screen time, sleep etc.