Some ideas seem so nice, so inoffensive and so harmless, that it seems a shame to criticize them.
For doctors, it's attractive because it means they can recommend exercise - which is free, quick, and easy, at least for them - instead of spending the time and money on drugs or therapy. Governments like it for the same reason, and because it's another way of improving the nation's fitness. For people who don't much like psychiatry, exercise offers a lovely alternative to psych drugs - why take those nasty antidepressants if exercise will do just as well? And so on.
How does this fit with the very popular idea that exercise helps in depression? Well, many randomized trials have indeed shown exercise to be better than not-exercize for depression, but the problem is that these trials are never really placebo controlled. You can usually tell whether or not you're going jogging in the park every morning.
But it's bad news for doctors tempted to default to "get out and go jogging" whenever they see a potentially depressed person. Because if it's the meaning of exercise that counts, and you recommend exercise in a way which sounds like you're dismissing their problems, the meaning will be anything but helpful.
In clinical trials of exercise, the exercise program has, almost by definition, a positive value: it's the whole point of the trial. And the participants just wouldn't have volunteered for the trial if they didn't, on some level, think it would make them feel better.
But not everyone thinks that way. If you go to your doctor looking to get medication, or psychotherapy, or something like that, and you're told that all you need to do is go and get more exercise, it would be easy to see that as a brush-off, especially if it's done unsympathetically. The point is, if exercise doesn't feel like a positive step, it probably won't be one.
Harvey SB, Hotopf M, Overland S, & Mykletun A (2010). Physical activity and common mental disorders. The British journal of psychiatry : the journal of mental science, 197, 357-64 PMID: 21037212