Exercise is always good and has many health benefits including uplifting your mood, improving your sleep, building muscles that burn calories, helping loose inches, etc. Yet you need to get to the bottom of what is causing your depression, heal from it and move forward so your uplifted mood is not dependent on exercise to "have better control over" your "mental state." So, you may want to consult a therapist in your area to find the best way to deal with the depression. You may also want to read "Feeling Good" and "Mindful Way through Depression."
I hope this is helpful.
Nancy J Warren PhD
I can't say whether you can cure your depression with exercise. However, I can say that research has shown that physical activity and engagement all on their own can be extremely effective for some people. The main treatment with this name is "behavioral activation." Assuming you aren't exercising to extremes or ignoring other responsibilities, the exercise is unlikely to hurt and every likely to help.
If you exercise outdoors, have a plan for how you will manage or vary your exercise routine to accommodate changes in the weather and daylight. Some folks like to walk a long circuit in a local mall to deal with hot/cold weather.
Bernadette Pivarunas, Ph.D.