I'm clinically depressed. I've had suicidal ideation for about twelve years (half my life.) On the rare days when sunlight peeks through and I can see the sky, yeah, working out and taking care of myself make me feel amazing. But most of the time it's just something I do. I don't feel better afterward. There may be a shadow of a thought in the back of my head like "this is making me stronger," but that's about it.
I've read an awful lot of LessWrong guides like the link about, pithily, how to extract more marginal value from your life. The problem is that before doing any of that makes sense I have to stop being so depressed, because every time I do something that's supposed to make me feel good I end up literally wanting to fucking kill myself. When I ask myself what I want out of life, the answer comes back immediately, "I want to die." Depression is this huge boulder that has been keeping me from getting on with my life for years now, and I know this but I'm not strong enough to move it myself. The best I can do is make life in the cave busy.
Before the inevitable replies pour in, I am doing every last thing I physically can about this. I run. I lift. I'm vegetarian and I eat a pretty healthy diet. I'm medicated. I'm in therapy. When I try meditation, it tends to bring me back to the feelings of wanting to die, and that's too much for me to sit with. I'm pursuing ketamine because I'm sick of living like this. I hope it helps me move the boulder.