Aerobic exercise and weight lifting have been shown to be effective in treating major depression. Studies show that about 60% of people halve their depression score by exercising and more than 40% stay that way for at least three months.
Exercise has similar effects to medication but none of the side effects. Exercise can also counteract the side effects of some medications such as reducing the risk of falling by strengthening muscles and helping control body weight and blood pressure.
Source: Exercise Right