Hmm it of course depends upon whether we're on about being down, or having clinical depression- but I suppose you're on about the latter. There are some people for whom biological treatments work (i.e. drugs), and if this is the case, then exercise should have a positive effect by increasing the wonderful serotonin in the brain. However, some people seem to be only treatable using psychological techniques (i.e. counselling), and so it may not be true for all. There again, I suppose, exercise does also give the opportunity to, albeit temporarily, take one's mind off the situation, which could provide some cognitive help.
So, the short answer? Maybe.