An exercise that happens all too often in mental health circles is exercise guilting. They tell people physical exercise can treat depression (without giving any details about how much) and then when it isn’t working (generally for people with more severe depression) they move the stakes and say things like “you’re doing it wrong” or “you haven’t been doing it a long enough time”. You are not allowed to question which depression treatments work even if they don’t work for you because when you are depressed you are generally also on the bottom.
For me the things that often co-occur with exercise are helpful with depression (interaction with people, being out in nature) but exercising alone gives me no benefit. Another reason people say exercise treats depression is, when people exercise, they want them to get the placebo effect where they think it’s working. For me it is just the opposite, I get the nocebo effect from exercising because I have put it to the test so many times and it has failed.