For what it's worth, exercise, diet, sleep, social engagement, and lifestyle changes are well-known inputs to addressing depression. Therapists will explore and encourage improvements in all of these areas. Good psychiatrists will as well, given enough time and a patient who is open to listening.
One of the difficult issues is that many depressed patients often don't want to hear any suggestions that depression might be due to anything other than external factors. This is why the pop-science version of the "chemical imbalance" theory became so popular in the mainstream: It gives a plausible explanation that depression is just something that happens to you due to no fault of your own, which is weirdly easier to accept for many people.
There are similar treatment problems with a host of health issues, such as obesity. The trend on social media and pop culture is to explain obesity away as a chemical or societal problem, minimizing the input of personal choice and actions. It's very popular to propose theories that "counting calories doesn't work" or hear anecdotes about people who claim to only eat less than 1000 calories per day but never lose weight (which isn't possible, even 100% sedentary coma patients need more calories than that).