Here's the paper: https://pubmed.ncbi.nlm.nih.gov/41500513/
It's a review/summary of existing research, not anything new.
The fundamental problem with studying alternatives to therapy is that "being in a study" may be as effective as therapy! It's a structural placebo effect.
For a depressed person, "Exercise guided by a researcher" is different from "trying to make myself exercise".
> Authors' conclusions: Exercise may be moderately more effective than a control intervention for reducing symptoms of depression.
> Exercise appears to be no more or less effective than psychological or pharmacological treatments, though this conclusion is based on a few small trials.
> Long-term follow-up was rare.
Nothing new:
> The addition of 35 RCTs (at least 2526 participants) to this update has had very little effect on the estimate of the benefit of exercise on symptoms of depression.