Depression perpetuates itself through it's worst symptoms. Avolition (severe lack of motivation) and anhedonia (total lack of interest in or ability to feel pleasure) are both major symptoms of depression. Combined, they can be almost paralyzing.
When I'm full-on depressed, it can take me hours to work up the motivation to go for a walk or run, if I ever get to it at all. I know that getting my heart rate up, going outside, etc. are all scientifically proven to help me feel better, but it's just. so. hard. It can also be really disheartening to try to exercise when my body doesn't even want to move, so every step is an ordeal and I feel so slow and useless and tired. Then I might even feel worse.
I find exercise to be much, much more effective as a preventative measure. If I start feeling like I'm going into a slump, I might allow myself a day or two to be lazy, because sometimes it's just a sign that I'm getting a cold or something and I really do need rest, but if it continues, then I know I need to get off my butt and go work out. If I recognize it early on and fight it with physical activity, I can sometimes keep the depression at bay and avoid getting to the point where nothing seems to help.
This is, of course, only useful when I notice depression creeping up. Sometimes it hits a lot more suddenly, and then it's a lot harder to avoid falling into the depths.