I can vouch for the benefits of exercise. I have had recurrent severe depression for years. In the year I have been eating healthily and exercising regulary, I have been fine, and have had only had one panic attack in that time. I find exercise gives me "headspace" to put things in perspective. Swimming is one of my favourites, and the pool is one place I feel completely safe. Weight training has helped me too, as my body gets stronger, so does my mind.
I invested money in a monthly gym membership, the guys at my gym say I make up for all the people that sign up and only go five or so times then give up!!!
Give exercise a try, it may not work for you immediately, but hopefully, it will make as big a difference for your mind and wellbeing as it has for mine.