Depression is one of the leading mental diseases worldwide. An estimated 15 million americans suffer from Major Depressive Disorder in a year. That makes about 6.7 percent of the American adults aged 18 and above. Another 3.3 million or 1.5 percent of the same age group suffer from another form of depression called Persistent Depressive Disorder which lasts for two years or more. 
While almost two thirds of these cases are treatable, most of the treatment options are centered on antidepressants. However, different studies have linked exercise and depression treatment.
Exercise and Depression Treatment
A study published in Archive of Internal Medicine in 1999 established the link between exercise and depression treatment. This study established that aerobic exercise was as effective in treatment of depression as antidepressants. In fact, a further follow up study was also conducted which showed that the effects of exercise on depression treatment were longer than antidepressants. 
A recent research study published in Preventive Medicine has also concluded the beneficial effects of exercise on depression. This study was based on data from more than one million adults and showed clear links between mental health and fitness. The study showed that those with lower fitness levels had 75 percent more chances of being diagnosed with depression. 
Another very recent study published in Journal of Psychiatric Research has shown that moderate and vigorous exercise has a big and major effect on depression. The study concludes that exercise can be considered as a science and evidence based depression treatment.  Even walking can be beneficial when it comes to exercise and depression link. 
How Exercise Helps With Depression
So what exactly happens with our body during exercise that helps with depression treatment.One theory is that exercise improves the production and action of endorphins, which are chemicals in the body that are known to reduce pain and boost immunity. They are also known to act for improving mood.
Another theory is that when you exercise, your body produces neurotransmitter called norepinephrine which directly improves your mood. 
These findings have been confirmed by a recent research study published in the Journal of Neuroscience & Biobehavioral Reviews. The results indicate that exercise affects hormones and chemicals like Copeptin, atrial natriuretic peptide (ANP) and brain natriuretic peptide (BNP) which act as antidepressants.
Therefore, if you want to treat depression without antidepressants, I will highly recommend that you first try exercise as a treatment for depression. You can even use a combination of medicine and exercise but even exercise alone has proved as effective as antidepressants.
What is recommended is that you undergo a supervised exercise program for depression treatment because the compliance rate is lower otherwise. Probably because it is quite tough to persist with exercise when you are having depression attacks.