See, I both agree and disagree with your statement.
Exercise itself has never produced results for me. Generally, it meant I was still stuck in the house doing something I hated. I haven't always had the luxury of going on regular walks or anything like that. I don't get a rush from being physical. Until recently, I couldn't even afford sports bras for running. Without the bras, anything too "jumpy" was physically painful. (I wear a special size, even when thin like I am now, and they generally cost between $60 and $100 when I can find them. Pre-internet, I simply couldn't find them).
All this said, having better physical health does help a bit. But eating well and feeling some pride that you've changed your diet for good? Yeah, that has benefits. The hardest part was finding the combination that worked for me (mostly vegetarian with the exception of fish). Losing weight? Yeah, that had definitely helped (I, too, have lost a great deal of weight and kept it off for years). Walking as a main form of transportation? That is my physical activity and I take some pride in being able to do it regularly. I still hate exercise for the sake of exercise, though.
It definitely wasn't a cure at all - that took actually changing my life. And it was hard. And i'm gonna guess that your exercise was a combination of things - like being able to use the coping mechanisms better. Simply growing up (I started a lot of my life changes in my late 20's, and I'm 39 now) I got out of a bad, stressful relationship with a schizophrenic man. I learned that a lot of the negative feedback I had gotten from others over the years wasn't necessarily true and the few friends I have are positive influence. Heck, I actually have a couple friends that aren't family.
Some of it was pure luck - I wound up moving overseas to a place that I fit in better than I did in small-to-medium towns in the midwest. I'm able to completely be myself at home: A weird bisexual artist that spends a lot of free time at home. I learned how to relax.
Admittedly, I'd not recommend some of what I've done to folks since I'm pretty partial to hallucinogens and visit Amsterdam every once in a while, both with my spouse and by myself. I'm gonna guess some of my crap wasn't depression, though - I completely understand why MDMA is seeming like a wonder drug to the researchers. I had a marked change in thought process after doing it once. By the time I tried it, though, I had already come a long way.