"In summary, exercise appears to be an effective treatment for depression, improving depressive symptoms to a comparable extent as pharmacotherapy and psychotherapy. Observational studies suggest that active people are less likely to be depressed, and interventional studies suggest that exercise is beneficial in reducing depression. It appears that even modest levels of exercise are associated with improvements in depression, and while most studies to date have focused on aerobic exercise, several studies also have found evidence that resistance training also may be effective. While the optimal “dose” of exercise is unknown, clearly any exercise is better than no exercise. Getting patients to initiate exercise ---and sustain it – is critical."
http://www.cochrane.org/CD004366/DEPRESSN_exercise-for-depre...
> When only high-quality trials were included, exercise had only a small effect on mood that was not statistically significant.
> Exercise is moderately more effective than no therapy for reducing symptoms of depression.
> [...] The reviewers also note that when only high-quality studies were included, the difference between exercise and no therapy is less conclusive.