I would prescribe skydiving or some other extreme sport for depression. It is pretty hard to be depressed when your life is on the line and it is completely up to you to ensure you survive. And even if you fail, you will have cured your depression. Its a win win treatment.
Exercise is usually very effective for depression, but there are a lot of people who can’t do it in any meaningful way, due to other medical conditions/injuries. In a lot of cases, the inability to exercise as one used to is at the root of the depression.