I'm not criticising our culture or way of life. We naturally want to spend our lives comfortably at peace. We have managed to improve our lives, generation over generation, to the point now where the average person can reasonably expect to live their entire life without fear of violence or starvation and die of natural causes in their 80's.
But just like how eating all the high-calorie food we want leads to diabetes, because our bodies are evolved to a much less calorific diet (and periodic starvation), we evolved to face more challenges. The lack of fear and the ease of our survival leads to mental health problems because we have the luxury of wondering wtf we're doing here, instead of wondering how we're going to survive until next week.
Exercise helps with depression, partly because it's not easy, it requires effort and discipline and it's not "fun". Forcing yourself to get out of the house and go for a run is difficult (I know, I went through clinical depression and had to force myself to do this. Still do). It does the same for your body - stresses it to make it more healthy.
Hopefully it'll change. As following generations get used to lives without struggle or fear or starvation they'll adapt and be more mentally healthy. We'll also conquer diabetes, somehow, I'm sure.