To me, depression has always been like Bilbo in Mirkwood. He's at the top of the trees, looking around, but all he can see is trees. He doesn't realise that they're in a valley, so there's nothing but trees all of the way to the horizon. There is no end in sight. There's no point in going on: he knows that they can't go on much further, so why bother even trying. They might as well give up. But we know, from outside looking in, that he's just got to make it to the top of the next valley. If he checks again once he reaches the top then he will be able to see all the way to the Lonely Mountain and that the trees end soon and give way to the lake... He's almost through the darkest part.

So back to your question...

Making an appointment to see a therapist gives you a goal. You've made a commitment to be at a specific place at a specific time. That is often enough to get you up the next valley to see a way forward. The therapy itself can also be quite beneficial, but I've always seen the making and keeping of the appointment as a fundamental motivator for my own will when I'm deeply depressed. It's hilarious to me that I will consider ending it all, despite the effect I know it will have on my family and friends, but that I would postpone suicide to keep me from the embarrassment of missing an appointment. The depressed brain is completely irrational.

Exercise requires getting up, getting outside, going to the gym, going to the park, being around people... The exercise itself is beneficial with the endorphins and the elevated heart rate and the requirement for replenishment (eating food), but again, for me it has always been just getting out of my room and going somewhere. Just get to the front door... Right, you're here now! Might as well go for a walk. Just gotta hang on long enough to get to the top of the next valley.

I recommend exercise and therapy because it forces people to choose between the "permanent solution to the temporary problem" and the possibility of hope. 99.9% of the time, people will choose hope.

I also recommend them because they both work for me. There's no cure: you've just gotta hold on long enough to see the lonely mountain.