Probably the simplest and easiest way to fight depression is to get outside and move around. In general, outdoor activities are preferable to indoor because the sun and trees have naturally uplifting qualities, so don’t feel bad if the idea of going to the gym seems repulsive to you. Actually, I think the treadmill is a diabolical machine. Running and running while not going anywhere kind of symbolizes the internal struggle of depression! Then they slap a TV in front of you to make it even less natural.
If you like going to the gym, though, of course go. The main thing to do is to find a physical activity that you enjoy and incorporate it into your life as much as possible. I know that enjoy can be a strong word, but find the activity that offers the path of least resistance for you. Your mood will fight you tooth and nail for every inch of progress. Depression as a disease seems to have brilliant self protection mechanisms. Exercise will significantly help your mood and energy, but you don't have the mood or the energy to start because of the depression. You almost certainly can't force yourself to do much if you're depressed, but this is another time that it's worth using whatever strength you have to do so.
I’m a big fan of simplifying your daily goals when you’re depressed, and I think that exercise should be goal number one each day. I say that, though, understanding that everyone is at different places in their battle. If you still have a decent amount of your strength, then your goal should be to get that half hour or more of good exercise each day. For the severely depressed, just taking a shower today can be a good starting point. It's not important where you start. What really matters is that you move forward from that point a little each week. If your depression is so severe that you just can't go for a walk outside and you haven't begun to take medication, I would highly recommend that you talk to a doctor about it. I know the decision on whether to take medication or not is a very difficult one, but I say that here because being able to exercise is so crucial in this fight.
Even though I feel better now, it’s still a struggle to get motivated to exercise. I’ve been running 3-4 days a week, and I still don't like it. The sound of my own breathing creates this time warp where my jogs seem to take forever. I got some awesome Bluetooth headphones, and music has really helped. Maybe I don’t look forward to my runs, but I do look forward to what comes after them. I have this crappy 30 minutes, but then the rest of my day is so much better. I’m less short-tempered with my family, have more energy, and can think more clearly. I need to exercise to stave off the return of my depression. When I find myself spiraling, it’s one of the first things I ask myself.