Depression is like a catchall term to represent symptoms that could have any number of causes, which is why treatment is very difficult and inconsistent from person to person.

A lot of the time the change in behavior is a coping mechanism rather than a cause for the depressive symptoms. They don't work out because they are so physically drained they can barely even muster up the energy to fulfill their responsibilities, or they become recluses because they believe their social connections aren't capable of supporting that level of vulnerability.

I suspect that it is more like the other way around, in that lifestyles incentivized in the developed world are rather poor at mitigating causes of depression, and by that I mean on a more fundamental, macro level instead of individual, which is why it has become so pervasive. For example, we have a fairly individualistic society, where many people have very shallow roots in their communities because of various causes of upheaval like immigration, education, employment. This makes it very difficult to get compassionate community support, which leaves mental healthcare workers to fulfill that position in a clinical manner.