My wife is a psychiatrist and we talk about it a lot especially since I work with high schoolers (many of whom are depressed). The studies done aren’t super conclusive but they all show that there is a portion of depressed people who are too far in that spiral for them to climb out without real treatment (medical or therapy intensives).

Of course exercise and change will be a part of the plan of action but depression can literally keep people from ever starting that plan, that’s what it does. A torn ACL will require you to walk on it to regain strength but we don’t tell people with torn ACLs to just get up and start walking because we know they need medical guidance and support to do it effectively.