Yes, an option for low-grade depression, basically sub-clinical in many cases.
For moderate to severe Major Depressive Disorder don't waste your time.
Exercise and pharmacotherapy in the treatment of major depressive disorder. Psychosomatic Medicine, 69(7), 587-596. doi:10.1097/PSY.0b013e318148c19a.
Summary of the Study: Objective: The study aimed to compare the efficacy of exercise, medication (sertraline), and a combination of both in treating major depressive disorder (MDD).
Participants: 202 adults diagnosed with MDD. Methods: Participants were randomized into three groups: one group exercised three times a week for 45 minutes (aerobic exercise), the second group received sertraline (Zoloft), and the third group received both treatments.
Results: After 16 weeks, all three groups showed significant improvements in depression symptoms. The study found that exercise was equally effective as medication, with the combination of both yielding no significantly better results than either treatment alone.
Conclusion: Exercise can be an effective treatment for MDD [major depressive disorder/clinical depression], offering benefits comparable to standard pharmacotherapy.
You can access the full study via academic databases such as PubMed, or through university libraries that have access to the journal Psychosomatic Medicine.