I've found that exercise only helped with my depression on an extremely temporary basis, maybe for about an hour or two afterward, but then I would fall into the deep end again.

If you want to get on a regular exercise schedule I suggest you sign up for a martial arts. A martial arts will make it a little bit more fun to go everyday because you'll be learning something new while also sweating out your stress, which you will probably end up sticking with longer than just going to the gym and repeating the same movements over and over again.