They are by no means mutually exclusive. If you want depressed people to get more exercise, then a really useful starting point is to give them a pill that could rapidly increase their energy and motivation. The idea that people will be stuck on those pills forever is just lazy psychiatry; ongoing maintenance treatment is often the best option for patients with a history of severe depression and a high risk of relapse, but antidepressants are equally useful as a stepping-stone towards self-management.
Bluntly, if someone is capable of actually starting and sticking with an exercise routine, then they aren't very depressed and should not be offered medication as a first-line treatment. Antidepressants are markedly less effective in patients with milder illnesses, so psychotherapy and lifestyle interventions are a far better initial treatment option. It's only when these treatments fail - or when engaging with them is severely impaired by the severity of the illness - that medication becomes the favoured option.
Bluntly, if someone is capable of actually starting and sticking with an exercise routine, then they aren't very depressed and should not be offered medication as a first-line treatment. Antidepressants are markedly less effective in patients with milder illnesses, so psychotherapy and lifestyle interventions are a far better initial treatment option. It's only when these treatments fail - or when engaging with them is severely impaired by the severity of the illness - that medication becomes the favoured option.