It is probably different depending on physical and mental situations. I'm a loner so exercising with a crowd gives me an anxiety attack.

I use to walk a mile each day and in some ways it did help my depression. I would talk to myself so I wasn't just walking I was talking things through at the same time. (bet I could walk and chew gum at the same time too)

Then I started having muscle spasms and cramping in my back, thighs, toes and hands during the middle of the night .... doc and all kinds of tests did nothing. Found codeine, trigger point injections and doing nothing took away the pain.

Have only just now started walking again. Can only walk about 1/4 a mile. So far no pain and no 1 mile walks but I'm scared to death the cramps will return so that does nothing right now to help my depression.