But now researchers have delivered surprisingly good news on this front - a large data analysis has revealed that even one hour a week of any type of exercise can prevent depression in the future.
A large international team of researchers from the UK, Australia, and Norway looked at data from a huge Norwegian population health survey called HUNT, conducted between 1984 and 1997.
According to the team, studies have been increasingly pointing to a link between physical activity levels and mental health issues such as depression and anxiety.
But there's always the question of whether there's actually a 'reverse causation' going on - people with mental health issues may struggle to get enough exercise in the first place.
Sometimes such research also conflates depression and anxiety together, even though each can have different risk factors and biological mechanisms.
That's why the team took to combing through data from HUNT in order to address "the uncertainty surrounding the relationship between exercise and depression and anxiety."
"We've known for some time that exercise has a role to play in treating symptoms of depression," says lead researcher, psychiatrist Samuel Harvey from Black Dog Institute and the University of New South Wales in Australia.
"But this is the first time we have been able to quantify the preventative potential of physical activity in terms of reducing future levels of depression."
Using a sample of 33,908 healthy adults (no evidence of physical illness, nor depressive or anxiety disorders), the researchers obtained data on the baseline level of exercise for this large group of participants.
Then they looked at the HUNT study follow-up data from 9 to 13 years later, analysing the relationship between exercise levels and results from specialised questionnaires designed to detect symptoms of anxiety and depression.
Even after controlling for a range of potentially confounding variables (socioeconomic status, BMI, demographics and others), the data revealed that people who did no exercise at all had a 44 percent larger chance of developing depression in comparison to those who exercised at least one hour per week.
"Assuming the relationship is causal, 12 percent of future cases of depression could have been prevented if all participants had engaged in at least one hour of physical activity each week," the researchers write in the study.
That's huge, and good news for all of us who just can't commit to daily gym sessions or a rigorous marathon training schedule because, well, life.
Furthermore, the researchers didn't find a relationship between intensity of exercise and its protective effect in terms of depression. And neither did age or gender make a difference in the benefits.
"Most of the mental health benefits of exercise are realised within the first hour undertaken each week," says Harvey.
These encouraging results didn't extend to anxiety, though - the researchers found that exercise levels made no difference in whether participants would develop anxiety or not.
While this was a huge prospective study with a tight grasp on confounding variables, there were some limitations.
Importantly, the researchers were not able to exclude from their sample group people who'd had depression and anxiety episodes earlier in life, which means that some of the registered mental health episodes could have been a recurrence, rather than new onset illness.
"This has important consequences for the interpretation of the results and suggests that the actual protective effect of exercise may be even greater than that reported in this study," they write.
Either way, this data falls in line with other research pointing in this same direction, and at just one hour a week it should be an achievable health goal for most.
"These results highlight the great potential to integrate exercise into individual mental health plans and broader public health campaigns," says Harvey.
The research has been published in the American Journal of Psychiatry.