I have severe anxiety with infrequent panic attacks. My anxiety is mostly social anxiety, so taking a walk around the neighborhood or going to a gym triggers my anxiety too much to be a long-term solution. If walking around the block triggers your agoraphobia, then work up to it. Try workout videos at home (where it's safe.) I really like the Leslie Sansone videos because they are easy and feature people of all different sizes.
I agree with everyone's suggestions to try different SSRIs and talk to a therapist. Until you get help with the anxiety, you can still get exercise inside your home. It may just take some creativity.