Depressed people should consider exercising when trying to recover from depression. A 2014 study published in the journal "Depression" showed that people who exercised had a significantly improved antidepressant response after six weeks of exercise compared to those who did not. In addition, exercise is an effective treatment for major depressive disorder (MDD) in adults and adolescents. The benefits of exercise include reducing stress levels, boosting moods, improving sleep quality, and increasing feelings of general well-being. So, if you're struggling with depression, working out might just be the key to feeling better soon.