There is a tri-lateral(?) relationship between exercise, sleep, diet, and how the three impact mental health.

A waste product of exercise is Adenosine. Adenosine build-up leads to increased sleep pressure, and improved Neural Function of Sleep, not just "being unconscious".

This is where things get a bit interesting when we look at depression. For many people, depression results in decreased Neural Function of Sleep (specifically slow-wave activity) even though sleep time often increases.

However there is also some evidence that restricting slow-wave activity can act as a "reset" button. The researchers I have spoken to about this are either in the "too dangerous to do the research" camp, or "distrupting slow-waves for a very short period, then increase slow-wave activity".

Of course, sleep and exercise would only be a single pathway to improving depression outcomes. Exercise alone, and the dopamine, oxygenation, and many other outcomes are also likely to come into play.

Comparing this to pharmaceutical or behavioural therapies, I can see why they'd be as effective. You're treating the entire system, not just trying to change a single chemical in the brain, specifically when we aren't even measuring the chemical before or after treatment.