I’ve never experienced depression so take this with a grain of salt.
My buddy had pretty bad depression last year, so bad that he tried to take his own life. The guy had everything going for him. Smart, athletic, popular, sexy girlfried & all round funny guy, still don’t know to this day why he was depressed, was completely shocked when he told me. Anyway what he found turned his life around was setting a target. He basically took up MMA & immediately scheduled a fight for a few months later. Working towards this fight brought him the motivation to train & take his mind off feeling blue. So I would recommend not just training but setting some kind of long term target to work towards.
My 0.02.