A great deal of well designed research has been published demonstrating that exercise is just as good, if not better, than antidepressants for mild to moderate depression.
One of the best papers on the matter was published in 2000 in the journal Psychosomatic Medicine. In it Michael Babyak and his co-authors randomly assigned 156 depressed adults to one of three groups: Zoloft, Exercise, or Zoloft plus exercise. They then looked at depression after 4 months and again after 10 months utilizing the fairly standard Hamilton Rating Scale for Depression.
Exercise involved 10 minutes of warmup followed by 30 minutes of moderate intensity cycling, jogging or brisk walking and finally by 5 minutes of cool down. This was performed 3 times per week.
The results were impressive. After 16 weeks of treatment all groups showed significant reductions in their depressive symptoms. Medication worked faster, but by week 16 exercise had caught up. What was more impressive were the results at 10 months - those exercising had lower remission rates than those on Zoloft or a combination of Zoloft and exercise.
The authors summarized their results with the following statement, "Each 50-minute increment in exercise per week was associated with a 50% decrease in the odds of being classified as depressed"
Bottom line: Don't throw out your pills, but slowly, along with your doctor, it may be reasonable to try to trade your drugs for some great shoes and a minor committment to exercise.