What I like about this article is that it also includes a decent set of instructions as to how to set up a walking program.
Exercise has been considered a good adjunct to psychotherapy and meds in terms of dealing with mild to moderate depression. It is also helpful for severe depression, but first the person with severe depression has to be willing to marshal enough energy to start to exercise, even if it is a walk to the corner and back.
The other major adjunct for improving mental health is a proper diet. There are some hints here: http://www.webmd.com/depression/guide/diet-recovery?print=true.
Only a few more days until I get hypnosis training!