It didn't make sense to me as I'd always heard that exercise was a solid remedy for mild depression.
It was when I read this 2005 article on Kuro5hin (RIP) called Demystifying Depression [1], that it made sense.
The section "The Role of Sports", with its explanation of the physiology behind the benefits and drawbacks of exercise for people with depression or burnout, is consistent with my own experience.
These days, having done a huge amount of work over 10+ years, including emotion-based treatments, diet/nutrition, and some pharmaceutical treatment, I can and do often undertake intensive exercise without negative effects.
But I still have to be careful - as the article says, listen to your body.
As a general comment about this document:
Anyone experiencing depression should seek professional help and should not make treatment decisions based on comments on internet discussion boards or online articles.
But as a lay-person's summary of the mechanics underpinning depression, I've not found anything better than this in the 14 years since it was first published.
If someone can recommend a better one, I'd be pleased to hear about it and will gladly start recommending it instead.
[1] https://en.wikibooks.org/wiki/Demystifying_Depression/Print_...