If you are truly depressed, and not just getting the blues, you need to speak to a therapist or perhaps a psychiatrist. There have been many studies showing that exercise is just as effective as anti-depressant meds in alleviating symptoms of depression. If you are not getting enough exercise, as in daily exercise such walking, running, or lifting weights, you should start today. If all else fails seek professional help, it is nothing to be ashamed of, and it sounds like you know you need it.