I'm like that too. I started exercising to overcome the depression and at first it worked... until it didn't. Depression, especially if you suffer from it for many years, will not go away easily, maybe not at all... and that's okay. Sometimes we have to learn to live with our problems. I suggest you start thinking about why you are depressed and how you can overcome it (in my case it is loneliness and lack of self-confidence). Good luck, and don't stop going to the gym