A few years ago, I came across a website apparently run by and for people with various illnesses. There were discussions, and also places where people could rate the different types of treatments for their illnesses. I went to the "depression" section to see if people gave higher ratings to medication or to psychotherapy. To my surprise, the most highly rated "treatment" for depression was exercise.
Perhaps it shouldn't be surprising. Exercise tends to make people feel better immediately, whereas medication can take weeks to work and psychotherapy may take months.
I have noticed that some of my most depressed patients don't exercise. Are they so depressed because they don't exercise, or are they not exercising because they are too depressed to be motivated to exercise? Clinicans have long noted that depression can cause vicious cycles in which the depressed person stops participating in activities that would be enjoyable and becomes more depressed as a result. Consequently, we encourage depressed patients to do the things they have enjoyed in the past, whether they feel like it or not.
Depression can cause distorted cognitions including inaccurate memory. People with severe depression may "forget" pleasurable experiences. It's not uncommon for inaccurate memories to include memories of treatment experiences. Recently, for example, someone told me that she had taken numerous psychiatric medications in the past and none of them worked. But as she described her life and past experiences, it became clear that she had functioned much better when she had been taking anti-depressants.
There isn't a one-size-fits-all treatment for depression. Effective treatment might include a variety of modalities, some of which, such as exercise, are the sole responsibility of the patient. In my experience, most depressed people recover, if they give treatments a chance to work.