Personal experience: Exercise did not help with my severe depression. Out of sheer desperation, I started exercising and eating way better. My health improved significantly, dropping 75 pounds.. but the depression still remains. I was just as depressed after 6 months of daily walking (3-5mi/day) as I was before. Left the house depressed, returned home depressed.

All that to say, I think IMO exercise can help improve general daily mood, but it did not really do anything for my overall depression.