They are by no means mutually exclusive. If you want depressed people to get more exercise, then a really useful starting point is to give them a pill that could rapidly increase their energy and motivation. The idea that people will be stuck on those pills forever is just lazy psychiatry; ongoing maintenance treatment is often the best option for patients with a history of severe depression and a high risk of relapse, but antidepressants are equally useful as a stepping-stone towards self-management.

Bluntly, if someone is capable of actually starting and sticking with an exercise routine, then they aren't very depressed and should not be offered medication as a first-line treatment. Antidepressants are markedly less effective in patients with milder illnesses, so psychotherapy and lifestyle interventions are a far better initial treatment option. It's only when these treatments fail - or when engaging with them is severely impaired by the severity of the illness - that medication becomes the favoured option.