One of the problems with depression is that it's corrosive to your internal drive. "Just" getting up and exercising takes the same level of will as "just" getting up and running an ultra-marathon.
Depression isn't just feeling sad. Its depression of the synapses in the brain. This means it takes FAR more effort just to do simple things. One of the areas affected is the executive functioning. This is the part that enables the shift from thinking "I want to exercise" to actually doing it. Effectively it translates will power into action. When this area is depressed it's akin to a car with a damaged gearbox, no amount of revving the engine will just make it work.