I've heard that. However exercise makes my depression worse. Every time I've tried over the years all it's done is put me into a deeper depression and sometimes it triggers my OCD to the point where I injure myself doing too much.
I think like all non-therapy & non- medication 'fixes' it's a case of it works for some but certainly not all and can be detrimental to some. Like the idea sunshine cures depression. I do believe it can help SAD-related depression in some cases but a daylight bulb won't for example help someone who has post-partum, or depression linked to PTSD etc.