I have a list of twenty items that must be in place (full force) in my life before I consider depression to be so great that I need prescribed anti-depressant medication.
Exercise and nutrition are both in the top five. I believe through consistent exercise I can effectively increase and balance out the same brain chemicals that are the target of anti-depressants. I don't claim this by scientific research but by personal experience.
Here are two reports of scientific studies however that do speak to the value of exercise in fighting depression and mood "disorders"
1. Workouts Can Lighten Heavy Hearts
2. Exercise and the "Runners High"
It seems like common sense to me. I just don't think there is much to argue with.