This thing you assert hasn't been proven though. We still don't know what causes depression, we don't know what causes cancer and we don't know what causes alcoholism. Out of the 3, we understand how cancer works the most, because it is the most life threatening one, and affects the most people, and is also probably easier to understand. So we are putting more money and effort into cancer research.
There's as many known external factors for cancer as depression. And as with cancer, they've got only a small impact of likelihood of reducing your risks of getting the disease.
It's therefore unknown if depression is caused by external factors, or simply triggered by them, or a combination, and if so, we're not exactly sure what all the factors which have an influence are.
As it stands today, it's still very possible depression is caused by generic defects, bacterial infection, virus, or some other unknown external factor like polution, exposure to some toxins, or very early development problems, etc.
Honestly, I'd love to be enlightened on some very definite research that knows what causes depression, but as far as I'm aware, science doesn't know.
So there is this problem that some people have depression, and we assume it's just there lifestyle, or they were raised poorly. This is due to the nature of mental diseases, which we understand poorly, and often we associate our mental state as our conscious of our own doing free will. Like someone who is naturally grumpy, we say that's who he is, no one questions that it might be he's got a disease, maybe there is a brain anomaly, or a weird communication of his neurones happening that don't balance out his emotions properly and skew him to being grumpy. But being a grumpy guy would never affect your life enough that you'd seek medical help. So people who are depressed, they're like grumpy guy, except it affects their life so much that we put some research into addressing it. Sad truth is we found very little yet.
With that said, we can see how socially we should be careful how we speak of this, because we're often giving the impression that external factors is the known cause, and that a few lifestyle change is the cure. Except that's false. The cause is unknown, and exercise is just the best we got to help. Imagine if we thought similar of cancer, we'd cut funds for cancer research, we'd just tell people they should eat better, stop smoking and exercise. And everyone who gets cancer got it because they probably didn't follow the right lifestyle.