We read the headlines, placebos work as well as antidepressants. Being the skeptic (over 25 years as a physician will do that to you), I wondered what the catch was. Richard Friedman, writing in the NY Times, has clarified that study well - Can the Placebo Treat Depression? That Depends This helps me the most -

To get into a study, a subject needs both to meet diagnostic criteria for depression and to have the requisite symptom severity, which varies from study to study. But depressed people who enroll in antidepressant clinical trials are a very select group who are not representative of depressed patients in general. For example, they tend be only mildly or moderately depressed and are never actively suicidal. And they also are usually free of other psychiatric or medical illness that are common in the general population.

It turns out that the more severely depressed people are, the less likely they are to respond to a placebo. And people with more mild depressions get better with just about all treatments, including placebos. Since most clinical trials enroll less severely depressed patients, the observed difference between the response to an antidepressant and a placebo can be misleadingly small.

Given that the antidepressants are probably very important when patients have severe depression, we need reasonable alternatives when the depression is mild or modest. This article speaks well to that subject and (surprise) exercise comes into play! Lighter Moods Without Drugs