I think there's some truth to this. I get a very different "high" after a session of lifting heavy vs 90 minutes of running or cycling. I feel like with weight lifting I get more a testosterone high and much less of an endorphin high.
I had to keep lifting, at worse, every other day. If I rested for two days, on the second day I was completely miserable. Like non-functional, despondent, etc. When I injured myself and couldn't lift for months, I fell into the worst depression of my life.
My advice would have been the same if I had said to be careful about abruptly stopping a medication.
My lifting injury was related to my sciatic nerve. I could barely walk for months and sitting or standing for any length of time was a challenge. Taking on any other kind of physical activity was out of the question. The effect on my mood and the depressive episode stopping my workouts triggered was a pretty significant problem.
If you're a depressive and you suddenly start doing something majorly physically-taxing, get really good training and be very, very careful. But I had great programming and an industry-leading coach and I still got hurt.