Think it depends on contributing factors and your current state of physical health, I don't find regular exercise is always helpful in my case living with chronic illness, there have been quite a number of times when I feel worse psychologically & physically after exercising.
I have found it really difficult to keep exercising during my depression. For a few months I managed to be able to do some weightlifting 3-4 times a week for sessions of 15-30mins each. Lifting weights did nothing for my mood however. A couple of days ago I started running. Only 5 mins of running followed by 5 mins of rest and then another 5 mins of running. I do honestly feel as if I get a small mental boost from it which lasts a couple of hours after the exercise is done. Also I walk a lot which does help to occupy my mind but does not have any long lasting effect on my mental health.
If you can manage it try 1 hour on a treadmill @ 7.5 kph with the last 20m @ 8 kph. Maybe you could gradually work toward this goal? I feel great after this for about 24h. Note, I wont let myself go to the gym if I am above a certain weight or it's too painful.
I really think it depends person to person? My old psychiatrist would tell me to take an hour long walk every day, but all that did was take me from being depressed indoors to being depressed outside. Even intense, indoor workouts don’t help much past a 30-60 distraction... and even then I don’t feel better- just miserable *and* now exhausted.
However, several people I know also swear that exercise really helps them feel better, whether they’re just kinda blue or feeling crippingly depressed. So I wouldn’t knock it before you try it, I guess!
(1) Movement, (2) purpose and (3) company. Going on a walk satisfies "movement", but it leaves out the other two. It's a good idea to try to involve more than one of the features - all three, at best!
Example: Doing an hour's walk, for a reason other than just doing a walk and do it, whatever it all is, in company. One image of this could be...doing a (1) walk, for (2) charity, with (3) others - that's movement + company + purpose. That's just one example, though...you could probably invent dozens of your own.