It took me years of fighting my depression before I finally tried exercise. I was pretty certain it wouldn't help, but I wanted to lose weight anyway, and so I did. I have found that walking gives me the time to go over things in my head, allowing me to understand things better. This helps me overall.
The part I didn't think about when I started was that it would help with the anxiety that goes along with my depression as well. There is a sense of well-being that is created when I spend 30 minutes outside walking and thinking, That sense of accomplishment is a great help since I am now disabled and do not have a regular routine. I continue to get that sense of achievement as I lengthen my walks every week.
Walking may not be the exercise for you, but whatever you choose might help. It is especially helpful with anxiety. Start out slowly. Don't overdo it. Feeling sore and tired doesn't help. Get moving and reap the benefits.