1 Depression didn ' t really set in overnight , so please don ' t expect to come out of depression overnight . I ' ve seen this a lot in myself and other people who are surviving depression , that there ' s this expectation that their new healthy coping mechanism will be an instant miracle cure . Setting reasonable goals is a great way to prevent yourself from being discouraged . 2 Exercise is one of many options for healthy coping mechanisms , and for many people it ' s a combination of changes that can and do lead to coming out the other side of the tunnel . For me , it was a combination of cognitive behavioral therapy , exercise , eating healthy , sleeping better , more cognitive behavioral therapy , opening up lines of communication with people who mattered to me and building up a stronger support system , and time . Explore every avenue available to you to find out what might work best . 3 Exercise takes on many forms , and you ' re probably not going to enjoy all of them . Explore . Some people love the power of lifting free weights . Some people love the meditation and skill of yoga . Some people like the freedom of running . Some people like the environment of hiking . When I first started exercising , I found that running wasn ' t something I was physically or mentally prepared for , so I looked for something else . I ended up just going on 12 hour walks every day listening to books on tape . Find exercise that leaves you excited for the next time you exercise , or at the very least be open to it . 4 Exercise can be social , which can be really helpful to people for whom depression has meant social isolation . Going to shoot some hoops with a local group or joining a bicycle club can put you in an environment in which you can safely experiment with casual conversation with strangers and acquaintances . You don ' t have to become best friends with everyone , but even a small connection can be really healthy . 5 Depression can go into complete remission . One of the more frustrating aspects about depression is that when you ' re experiencing a depressive episode it ' s incredibly difficult to imagine life without depression , coming out the other side and feeling a healthy sense of wellbeing . Not only is it possible , but it happens every day . I ' m not guaranteeing that it ' ll happen for you , but holding on to hope is a struggle that ' s worth the effort .