Exercise, like sleep and a proper diet, is something that improves our lives and increases life expectancy... Your advice is great, and I believe it is true for depression in general. The mind does not fare well in an empty room, ruminating over painful feelings, thoughts, and memories. You need to give yourself some space from these things so that you can see the problem clearly and move on. In other words, working out separates you from the pool of negativity which you would otherwise drown in.