I get frustrated with advice like this - there have been periods where I've gone to the gym 5 times a week and had it have no affect on my emotional state whatsoever.

Moderate Depression is literally a different disease from severe depression. Don't assume what helps one will have the slightest affect on the other.

On the women thing - I lost huge amounts of weight after a massive diet and exercise regime and it... made no difference at all. I'm 5'5" therefore an untouchable as far as they're concerned (just google around on male height + dating if you don't believe me, I'm tired of arguing as to why this is the case people tend not to want to believe it.)

I think this side of things would make a difference with women, however, if you have no obvious flaws so for normal dudes it's applicable. But don't think it will necessarily have an impact on the depression. Severe depressives should see their doctor and try to get outside help.