Exercise certainly saved me from my "depression days" in my mid-20's. I actually found it to be, in itself, a kind of "drug" though. I became addicted to the good vibes. But in the end it was nutrition that saved me from the medication. Exercise is taxing on the body - a type of stress that burns out key hormones that are required to produce serotonin! Yes, exercise is certainly necessary, but I encourage people to look at what fuels your body (and your exercise) BEFORE focusing on exercise. You are what you eat, after all

If medication is necessary, I would certainly have a discussion with my doctor about what food types are proven to help alleviate depression. If they don't know, choose another doctor as they can't use Google very well...