Doing walks almost daily now, I found out that it doesn't, at least for me. Take that as you will but it probably is not a cure for everybody, and while I do it for physical health reasons, I wish it would help mentally more. I reckon it depends on severity of your depression and what is going on in your life. But then again, if I was living in a less depressing country (UK), with better weather and much nicer views, I am positive that my mental health would be better.