Let's take a quick look at some studies that were trying to find out how exercise stacks up against antidepressants...
* exercise was compared to the antidepressant medication Zoloft in this study (Blumenthal 2007). 202 adults diagnosed with major depression were randomized to either supervised exercise, home-based exercise, Zoloft, or a placebo pill. Results showed that exercise was equal to the antidepressant medication in the treatment of patients with major depressive disorder.
* in this interesting study, 86 patients who had been taking a therapeutic dose of antidepressant medication for at least 6 weeks without any benefit were randomized to either an exercise group or a control group (health education talks). At 10-weeks, researchers found that significantly more people in the exercise group were less depressed than in the control group (Mather 2002).
As you can see, exercise is at least as effective as some anti-depressants. Also noteworthy is the fact that exercise has been shown to help people who have failed to respond to antidepressant medications (Mather 2002). You can learn more about which kind of exercise is best for treating depression in Exercise Beats Depression.