It means nothing, standardized effect sizes have no clinical meaning here, they are purely statistical. To measure if these kinds of changes matter, you need to determine the Minimal (Clinically) Important Difference [1-2]. I.e. can clinicians (or patients) even notice the observed statistical difference.

In practice, this is a change of about 3-5 points on most 20+ item rating scales, or a relative reduction of 20-30% of the total (sum) score of the scale [1-2]. Unfortunately, anti-depressants are under or just barely reach this threshold [3-4], and so should be widely to be considered ineffective or only borderline effective, on average. Of course this is complicated by the fact that some people get worse on these treatments, and some people experience dramatic improvements, but, still, the point is, depression is extremely hard to treat.

Unfortunately, this also means that if exercise is only nearly as effective as therapy for depression, it may mean that the benefits of exercise are not actually really clinically observable, if measured properly and not just based on arbitrary statistical significance.

EDIT: There is less data on MCIDs for therapy, but at least one review suggests therapy effects can be in the 10+ point range [5]. But the way the exercise study is presented, with standardized effect sizes, we have no idea if the results matter at all [6].

[1] Button, et al. (2015). Minimal clinically important difference on the Beck Depression Inventory - II according to the patient’s perspective. Psychological Medicine, 45(15), 3269–3279. https://doi.org/10.1017/S0033291715001270 [https://www.cambridge.org/core/journals/psychological-medici...]

[2] Masson, S. C., & Tejani, A. M. (2013). Minimum clinically important differences identified for commonly used depression rating scales. Journal of clinical epidemiology, 66(7), 805-807. [https://www.jclinepi.com/article/S0895-4356(13)00056-5/fullt...]

[3] Hengartner, M. P., & Plöderl, M. (2022). Estimates of the minimal important difference to evaluate the clinical significance of antidepressants in the acute treatment of moderate-to-severe depression. BMJ Evidence-Based Medicine, 27(2), 69-73. https://doi.org/10.1136/bmjebm-2020-111600 [https://ebm.bmj.com/content/27/2/69.abstract]

[4] Jakobsen, J. C., Gluud, C., & Kirsch, I. (2020). Should antidepressants be used for major depressive disorder?. BMJ evidence-based medicine, 25(4), 130-130. https://doi.org/10.1136/bmjebm-2019-111238 [https://ebm.bmj.com/content/25/4/130.abstract]

[5] Cuijpers, P., Karyotaki, E., Weitz, E., Andersson, G., Hollon, S. D., & van Straten, A. (2014). The effects of psychotherapies for major depression in adults on remission, recovery and improvement: a meta-analysis. Journal of affective disorders, 159, 118–126. https://doi.org/10.1016/j.jad.2014.02.026 [https://pubmed.ncbi.nlm.nih.gov/24679399/]

[6] Pogrow, S. (2019). How Effect Size (Practical Significance) Misleads Clinical Practice: The Case for Switching to Practical Benefit to Assess Applied Research Findings. The American Statistician, 73(sup1), 223–234. https://doi.org/10.1080/00031305.2018.1549101