Adding therapy helped more, but didn't work by itself.
Adding meds helped more, but I don't lean on them alone.
Which is just to say, it's not either/or. :-)
That said, I started going on long nature hikes, usually 4-5 miles but up to 17 sometimes. Download podcasts and music for offline access. Later, my therapist suggested taking notes after my walks, about how I felt / what was on my mind -- now I do it more often than not, and it's been helpful too.
Pretty much, it's gonna help but it's not a panacea. Exercising, sunlight, a correct diet, therapy all work but they work a lot better when combined with each other.