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"A 2017 study in the journal Pediatrics found that higher rates of moderate to vigorous physical activity at ages six and eight was linked to fewer symptoms of depression at age 10.The study included 795 six-year-olds who were tracked for four years. Their physical activity was measured by accelerometry, the same type of technology found in smartphones and other consumer products that can track a person’s daily steps. Depression symptoms were assessed via interviews with the children and their parents.While exercise seemed to reduce depression symptoms, sedentary behavior did not predict later depression."
It's possible that degree of initial depression or other resiliency factors played into ability to consistently exercise and increased likelihood of reduction in depression symptoms over time, but, whatever direction the correlation (and I'd guess it's bidirectional), exercise is good for the mind and the body!