We only recently have figured out how exercise protects the brain against stress-induced depression[0]. In short: red muscle (the endurance kind) produces an enzyme that breaks down kynurenine, one of the stress hormones that is associated with triggering all kinds of mental illnesses when it stays at chronically elevated levels.
But there are many more possible causes of depression than stress - one could compare it to a fever: a high fever kills, but there are many possible illnesses leading to a fever. Expecting that exercise helps with depression every time is like assuming every fever is caused by the same illness. Not to mention the fact that while having more red muscle may help with coping with chronic stress, it does not actually fix the cause of chronic stress in and of itself (although it can of course help with providing someone with the mental fortitude needed to take on that particular problem).
There are all kinds of reasons to do more exercise, but touting them as a catch-all fix for depression is dangerous and ignorant.
Exercise is harder than taking a pill - remember these are antidepressants. Also, when you're depressed anything that gives you hope is likely to actually help and that means placebos too. Having said that, I would hope actual drugs work better than a placebo.
>> This is a dangerous opinion and can inspire guilt...
Wait what? Which part? My first sentence? There are a few opinions in what I wrote. What specifically might inspire guilt? Honest question, I try to be sensitive to such things.
The Cipriani study is a nice meta-analysis: "The random-effects summary SMD for all antidepressants was 0·30" This site explains SMD: http://handbook-5-1.cochrane.org/chapter_9/9_2_3_2_the_stand.... This site shows what 0.3 looks like (actually shows 0.2 and 0.5): http://rpsychologist.com/short-r-script-to-plot-effect-sizes.... Typically, when people are summarizing this line of research saying that there is no effect, they are talking about these kinds of effect sizes which look like they round to pretty much no effect. I think using SMD for reporting by itself is unfortunate: my understanding is that the drugs have large effects for a minority of patients -- rather than that they shift everyone's emotional experience over a little bit.
But note that there's no attempt to control for the (extremely strong) anti-histamine effects of these drugs (particularly elavil.) You need to test them against other anti-histamines which can also improve apparent health, a lot.
But there are many more possible causes of depression than stress - one could compare it to a fever: a high fever kills, but there are many possible illnesses leading to a fever. Expecting that exercise helps with depression every time is like assuming every fever is caused by the same illness. Not to mention the fact that while having more red muscle may help with coping with chronic stress, it does not actually fix the cause of chronic stress in and of itself (although it can of course help with providing someone with the mental fortitude needed to take on that particular problem).
There are all kinds of reasons to do more exercise, but touting them as a catch-all fix for depression is dangerous and ignorant.
[0] https://ki.se/en/news/how-physical-exercise-protects-the-bra...