Hello! Yes indeed, exercise has been proven to help depression in particular. They say that depression can be to do with loss and locked away anger. When we exercise we release endophins which release positive feelings and help us to feel better. There are of course other health benefits too. Exercise and Depression: Endorphins, Reducing Stress, and More

The exercise does not have to be strenuous, a half hour walk a day would help. There is more about it in this Psych Central article 3 Ways to Beat Depression Through Exercise | World of Psychology