An article in the December 2014 issue of JAMA Psychiatry concluded that physical activity such as running regularly results in a dramatic decrease in the incidence of depression.  The study further concluded that the more you work out the less depressed you are. The conclusions further looked at if you become depressed in adulthood, depressive symptoms may become a barrier to working out and physical activity.  The article concluded that

Greater activity frequency predicted a lower number of depressive symptoms; increasing activity from 0 to 3 times/wk predicted fewer symptoms, by 0.17 of a symptom, equating to a 19% reduction in the odds of depression.

This study reinforced several other studies which had similar conclusions.

A study in the May 2011 Journal of Science and Sport also found that if you had decreased physical activity as a child this lead to a 35% increase in the liklihood of depression as an adult. This leads to the question of why we are not requiring exercise in high school?  Cross country is the perfect answer of how we can develop mentally and physically healthy young adults

Source: Depressive Symptoms and Physical Activity | Depressive Disorders | JAMA Psychiatry | The JAMA Network