Personal anecdote: During a bad depressive time I saw a psychiatrist who enthusiastically prescribed serious antidepressant medications like they were M&M's. One to lift me up, one to help me sleep, one to take the edge off, one just in case an anxious episode occurred during the day, etc, etc. That kind of thing. And he said to me "There is still nothing I can prescribe you that is as effective as exercise."
Specifically, heavy weights.