If you are goal-oriented and don't already work out regularly or go to the gym, I would highly recommend it. The physical challenge really requires focus and can clear your head and your body is hardwired to find exercising pleasurable. As a goal-oriented activity, it can be easy to quantitatively track your progress, and the physicality means you can't grind at it everyday - you need rest days. Plus, you'll hopefully feel healthier and get self-confidence from looking better too. I'd recommend starting with simple weight training - adjustable dumbbells are easy to use at home and can work out your arms, abs and legs with simple arm lifts, squats, etc. Or, try cardio - try getting your mile time down, and aim for 5k events.

I honestly think this is a strong biological cheat around depression that is a great jumping off point for many people.