I'm speaking from experience regarding mental illnesses and exercise. And I never discounted medication.
Just that exercise is critically underprescribed, I'm fairly sure it would work better for milder cases compared to meds. Not to mention the other health benefits listed in the thread.
Same way an opioid pill is still prescribed in cases of cancer or severe pain. Just that there are probably better, milder alternatives that don't have as many side effects that could fit a lot of these people with milder problems.