I seem to be one of the unlucky ones that does not get that sort of feeling from exercise. I don't drive so I have to rely on public transportation and walking/bicycle....so I get a lot of walking in. But yeah while I feel over-all better if I have not been spending multiple days lazing around...doesn't really seem to relieve the depression itself, though getting out after lazing around can get rid of the stagnant feeling.
Also haven't been able to pin-point the exact reason, but seems like I tend to be low on energy like feeling physically tired/exausted when I haven't even exerted myself. ....kind of annoying and certainly would make it hard to add on say a regular/consistent exercise routine.