I don't think any of the working out and so on were ever supposed to be a "cure" to say, not to say that it didn't help some people. I believe it's more so to have hobbies or things your passionate about to help take your mind off things and destress as best you can. So working out regularly could be one of those things that you can focus on to take your mind off, music, drawing, reading, just whatever you enjoy doing to help relax. You may be feeling worse than before because you were hoping this was a path to a cure or to free yourself from depression's grip and after over a month of work you feel that you've haven't gotten any closer. If you're looking for other things I'd just try focusing on anything else you can do to destress, any time idle is usually when you fall into that self destructive introspection, for myself at least. I hope you found this a little helpful at least, I wish you the best.