The research I've seen over 30 years shows that developing a reliable support system trumps all of those. Do you have any links showing exercise is MORE effective (for diagnosed depression at a moderate or severe level, over the long term) than therapy and medication together? The link Robert gave did not support that claim.

By the way, there are now several other therapies - interpersonal, mindful CBT, ACT, and others (including somatic therapies) that are at least as effective if not more so than CBT.