Exercise has a large and significant antidepressant effect in people with depression (including MDD). Our data strongly support the claim that exercise is an evidence-based treatment for depression.
MDD I assume it means major depressive disorder
From personal experience, being (extremely) fit made me feel better about myself.
Just based on the fact that I can do a lot of things (sprint, hike, some cool gymnastic moves, solid flexibility, can run good distances) makes me feel better about myself.
Also, once you get in a good shape, it's really not difficult to stay in it. Contrary to what anyone says. But you have to do it "the right way": change your approach to exercising, eating, sleeping, etc. There will be things that you have to sacrifice. I recommend anyone struggling with "bad thoughts" to at least consider this - give it a couple of months, see how it plays out.