Exercise is considered a empirically based treatment for mild to moderate depression, and there's no argument really from any segment of the behavioral health community. Lots of science to back it up.
I just get worried that some would see it as an alternative to other therapies, rather than a treatment to be used in conjunction with talk therapy, meditation, yoga, or medication. No one thing works for every person, and sometimes people get stuck in that there is only one way to treat something. I wish more people actually used exercise as a treatment. It's something that I discuss, support, and put into the treatment plan (which is done in conjunction with my clients) of almost every adult/adolescent I work with and quite a few of the kids. I go out of my way to spend time in working with people to develop realistic ways to begin.
Once in awhile one of the moms of the kids I work with asks me how I can stand the "stress of my job." My answer is "riding my bike, nordic skiing, and going to the gym."