Here's another article for your consideration.
The article mentions that "the three-hour-a-week group had a substantial reduction in symptoms." What does substantial mean? Need estimate of effect sizes to make any sense of such a statement. Need much more detail about the sample, too.
One of my neighbors was able to get off of her depression medication by doing aerobics for 45 minutes per day. Her doctor was amazed.
Did she start this program because of your suggestion? Anything else she was doing that may have increased her sense of control and well-being? What about time of year as a possible confound in seasonal depression? Was she actually diagnosed with depression or did the doctor decide one day to prescribe something for emotional distress because the doctor couldn't think of what else to do?
Misdiagnosis of mood disorders is a pervasive problem. MDs are (notoriously) poor at it. It's no surprise to me that many people do not respond well to antidepressants: It's because they are not actually depressed in a clinical sense. They have other things going on. Did the neighbor lady have other things going on that may have mimicked depression -- like maybe a sleep disorder that would in fact respond to exercise?
Eating disorders with mood regulation issues are not uncommon. In one study, almost half of the subjects diagnosed with anorexia qualified on DSM-IV criteria for exercise dependence. These folks are dependent on exercise for mood regulation. However, it would appear that many anorexics use exercise mainly to control weight and don't necessarily seek out exercise because it improves their affect. Treatment of anorexia should include psychotherapy.
People with anorexia also have sleep problems that may benefit from exercise. I'm thinking that diagnostic criteria for depression requires that you rule out the eating disorder. Is this neighbor lady anorexic?
Real clinical depression is a fairly serious condition and sometimes requires hospitalization. I personally think exercise is worth trying. But in fairness to the patient, exercise should not be the only thing in the way of treatment. For one thing, depressed people often have motivational deficits known as "behavioral inertia" or "impaired executive functions." They may be too shut down to get dressed or brush their teeth, let alone keep going with a 45-minutes-a-day exercise program. Some depressives are near-catatonic.
Umm, would you think the researcher is looking for a significant increase in depression as a result of exercise? 
Well, from the very small sample size I have observed, the effect was very significant.
Touché my dear. But from a statistical point of view, a sample size like this (N=1) is not convincing. There may be a thousand people who experience little or no relief at all for every one person who does benefit. Not knowing whether the person in question qualifies on diagnostic criteria for Depression makes the study even less compelling. Call me fussy. 
