I hate when people tell depressed people to "just go work out." When I was struggling with depression, I could hardly get out of bed and put on a fresh change of clothes, and somehow, they thought that I'm going to go outside and go for a walk! They really need to start with something more realistic like telling them to finally go and brush their teeth, because that is a lot more doable for them, and that still feels good too.
I do recognize that exercise does help. I'm in a lot better place now and I exercise daily, but if you're asking a depressed person to do that, you might as well be talking to a rock. Also sometimes people are just really depressed, and even if they do exercise, it hardly helps, since exercise probably isn't fixing the root issue.