While exercise may work for some people, it doesn't work for all. It didn't do much for me. I felt a little better for a few hours when I went to the gym, but afterwards all the same issues would still be there, like a fog that never went away. Exercise didn't help me get to the root of my depression, for a lot of people the problems are much deeper than just physical well-being.
I'm not saying it's wrong to suggest that and I am very happy for those people who it does work for, but I do think exercise as being the solution to all problems get a little over-emphasized, tbh. It surely doen't do any harm though to be active.