I think the major problem we have is we are lumping depression and anxiety into the same category.

Some people probably do have issues quickly resolved by SSRIs. Others are magically fixed by bupropion while it spikes anxiety in others. Others have major trauma that they have to work through and many therapies (like internal family systems therapy, as one example) are great at handling that. Others are stuck in cognitive distortions and merely learning about them and handling them (through cognitive behavioral therapy) can be life changing.

But if you have major trauma in your past, exercise is probably not going to do much. If you are heavily overwhelmed and your body is stuck in perpetual flight or fight) exercise and meditation might be a giant help.

But right now the practitioners are aware of this, but it's really hard to double blind test these divisions until people can do the analysis first. And at that point, you've basically already started therapy.