You'll have to start gradually in order for it to work.
Walks have always been my favorite - you can do them anywhere at any time!
Then you can slowly start by going to the GYM although you don't have to. You can also exercise at home or outside, plenty of ways.
Cardio is the primary exercise branch for health. Weightlifting should start out and progress gradually, as over-lifting can intensify depression due to exhaustion of the body. But it's up to us to experiment, as other elements such as medication and diet are involved in the results.