If you are struggling with depression, one of the best things you can do for yourself is to take charge of your body through exercise. Exercising on a regular basis can significantly reduce depression. In fact, a study done by Duke University shows that regular exercise may be even more beneficial than anti-depressant medication when it comes to easing depression and maintaining a healthy mental state. Start by exercising a few minutes a day and lengthen the time as your fitness level improves.