This article says pretty definitively that exercise helps people manage depression, along with a host of other medical conditions:

http://www.nytimes.com/2016/06/21/upshot/why-you-should-exercise-no-not-to-lose-weight.html

I checked out the comments, and was surprised to see so many people say that exercise helps their mood! I've exercised many times in my life and have never noticed an impact on my mood. Maybe I'm the exception... how about you?