Think of all the activities that you haven't done because you were out of shape. I'm not just talking about biking or hiking, but even simple activities like going to the beach with friends, or going for a wilderness walk. Think of all the dancing you missed out on where you could have socialized. Think of the people you haven't allowed yourself to meet. Think of the clothes you could be wearing.
Exercise increases blood flow to the brain, and lowers blood pressure.
It reduces muscle tension and prevents problems that a tense body can create. Physically fit people can handle stress better, and they are less likely to suffer from depression. If you already have depression, exercise can have a great impact in overcoming it. However, it is NOT a cure all. Doctors report that if depressed patients can get moving physically, depression symptoms are alleviated to an extent.