I started doing Yoga and some Pilates last week (got some stuff for Christmas and am trying it out). I do not suffer from depression (I do have bi-polar disorder) and I also have GAD and a panic disorder. I've found since starting these I've already lost 1/2 inch off of my stomach and I sleep a TON better. Of course this is followed by sensible eating also. I like to do the Pilates in the morning to help wake me up and the Yoga at night to help me sleep. I've found that when I do the Yoga (even 10 minutes) I can lay down and fall asleep super fast and don't wake up much at night. It seems to also have helped my mood a bit. My hubby says I'm not quite as "testy" and I feel more confident overall. No med changes so I know it has nothing to do with that.
Just thought it was something worth mentioning. I got a couple DVD's at the library to try (for free haha) and really like them.