In fact, a recent study investigated the effects of exercise on depressed patients who have been taking antidepressant medications (SSRI's) with little success, found that a fair number of the patients (nearly 30%) achieved remission with the addition of regular exercise.
http://well.blogs.nytimes.com/2011/08/31/prescribing-exercise-to-treat-depression/
Regular exercise not only releases the "feel good" chemicals in our bodies, but may break the cycle of nagging thoughts, ruminative worry, and improve one's general outlook, simply by changing one's surroundings, providing a distraction, and increasing one's awareness of the world outside of ourselves. Perhaps, as suggested by the article above, if we thought of regular exercise as a form of medication that must be take regularly in order to feel well physically and psychologically, we would have an easier time sticking with it and keeping our new year's resolutions.