If you feel physically uncomfortable after exercise perhaps you're doing something wrong. You say walking an hour on the treadmill? You need to start light, and do multiple courses. I recommend making a training scheme with a physician. A good gym has one, the more expensive ones have a lower ratio hence more per person (lower overbooking). A good gym doesn't stimulate you signing up for a subscription, it stimulates you to go to the gym. Another thing I recommend is: go by car (we don't have one) or go to one near you so you can give it everything you've got without worrying getting home.
There's no such thing as people who do and people who don't enjoy exercises because one can learn to enjoy exercise. Been there, done it. The only thing I really liked as a kid, was running, but it was useless in high school because we went to school by bus or bicycle. I hated gym on high school. Too many people, I got bullied, I was lean, nerdy, clumsy, and eventually not fit (turns out I happen to be autistic as well). You can find an exercise you enjoy. It doesn't have to be one at the gym (personally, I'm a hermit, but that is one of my issues and with headphones I can close myself down). A small gym might also work. Or, do gym at home with TV or videos (recorded DVDs, YouTube, I still got converted VHS lying around here from an ex).
We recently moved, and I used to be an avid runner + 1 hr yoga a week. We used a moving company, but we still had to paint and I had to carry the old lamination to a point in the street where the city waste disposal will pick it up (~100 meters). Took me a total of 2,5 hours, solo. It was tough, but because before we moved I changed my running exercise (3/week 30-40 min) to just 15 min a day overall exercises (5/week, all kind of different ones on TV. A mix of some examples: yoga, salsa dancing, boxing, tai chi, including a warming up and cooling down) I was overall more fit. After 1,5 hours I bruised some muscles and my arms could no longer carry so much. I had to half the amount I could carry to an amount which in the start would've been a laughter. My legs were still strong at that point though, so I just had to walk more.
Had I not exercised I'd be far more depressed to even start with this. Had I remained running solely I'd have to walk even more with less amount much sooner. Had I have RL friends, I'd have help. If I wasn't so shy I'd have borrowed a shopping cart from the store near me, and used that instead as my partner suggested.
If my mother-in-law needs help with her smartphone, I can go bicycle to her in 15 min. Instead of looking depressed at that ("oh no I gotta cycle"), I see it as an opportunity, and fun. I gotta go to the store, carry some groceries? My partner needs me to pick up something heavy? Carry her backpack for whatever reason? No worries, I'll do it without a problem. Because I am (relatively) fit.
That is what it's about, and that is precisely "less depressed" as the title says. And, I feel more masculine.
The ultimate way for the entire title is not exercise however, it is a different diet. Exercise can be a good co-factor and goes hand in hand with a better diet. It is great against the depression. And when did I restart running in early adolescence? When did I pick it up? Somewhere end of '00, when I quit smoking.