With exercise, I find that the goals are usually achievable and definable. It reduce stress which affects the immune system in a positive way. Part of exercise's effects is related to affected the cortisol levels. On a short term basis, increased cortisol is beneficial, but over the long term, cortisol may increase the effects of depression by somehow affecting the neurotransmitters in the brain. Exercise reduces the cortisol levels which will help with treatment of depression.