I wouldn't go that far, but there was a now-famous study (Princeton?) that showed that doing aerobic exercise for maybe 30 mins every day, about five days per week, was equally effective at alleviating depression symptoms.
Bluntly, if someone is capable of actually starting and sticking with an exercise routine, then they aren't very depressed and should not be offered medication as a first-line treatment. Antidepressants are markedly less effective in patients with milder illnesses, so psychotherapy and lifestyle interventions are a far better initial treatment option. It's only when these treatments fail - or when engaging with them is severely impaired by the severity of the illness - that medication becomes the favoured option.
I say this as someone who is extremely fit. I've worked out religiously since high school. While exercise is integral to me feeling somewhat normal and provides a short-term boost, that is just not how it works for everyone. Some of us have 'broken brains' that cardio can't fix.
Exercise manages my baseline, but sertraline is what helped me finally bridge the gap. It allowed me to regulate my emotions and anxiety in a way that no amount of exercise ever did. And the introspection from being on it helped me make lifelong changes.
To be honest, fearmongering from folks online is what stopped me from taking it sooner, but I wish I had. It was fairly life-changing.