Exercise is really helpful to me too, but it can be difficult when the weather is lousy, for multiple reasons. There's a vicious cycle to it where you have less energy, so you skip exercise, so you have less energy, which makes you less likely to exercise.

About a month ago I ran a half-marathon and hurt my hip. I couldn't run for almost three weeks, and during that time my mood fell HARD. Suicidal thoughts, everything. I started running again as soon as I could do it without pain even though I REALLY didn't want to. It seemed like the worst thing in the world when I wanted to just go to bed after work. But I forced it, because I knew I had to, and after just a few days of getting back on a regular exercise schedule the darkness started to lift.

My best advice is to find something that you actually enjoy. I do actually like running most of the time, which I know is kinda weird, but I HATE the treadmill, so I never bother with that. I also do indoor rock climbing, which I've found to be a really excellent way to vent frustration. Aggressively hauling yourself up a wall is cathartic and you feel a rush of accomplishment when you get to the top. It's a great mood booster for me.

What are you currently doing (or not doing) for exercise? Do you like it, or is it just a chore to help your brain chemistry? Exercise that you find difficult, but still fun, is much easier to talk yourself into doing when you don't feel the best.