Depression is a chemical imbalance in the brain. There is no one-size-fits-all solution. Sometimes it's fixed through diet/exercise. Sometimes it's fixed through therapy. Sometimes it's fixed through medication. OP is seeking a solution that doesn't involve prescription meds, so everybody is suggesting other possible solutions. While exercise may not have worked for you or me, there are plenty of people who have successful results with it.

In short, yes, it definitely varies across people.