So definitely do it, but don't have expectations going in other than you'll get that nice runner's high .
Deep depression is unfortunately a horrible bastard which doesn't allow you even the relief of things which are reliably great for the mild variety, and simply requires other people to help you. So if you find it doesn't shift, go out and get help. That's the hardest thing I have found from my own experience.
At some point a couple of years back, I read some research on insulin sensitivity and glucose tolerance that led me to believe that they are related to some problems with depression and attention deficit. The natural conclusion from the research was that 1) regular aerobic exercise would help out a lot by improving glucose tolerance, and 2) improvements or impairments in insulin resistance/glucose tolerance would accumulate over time.
That implies that intensive cardio may be beneficial, but it's not a magic bullet. It's not as important as making regular aerobic exercise a lifelong habit. So it has to be something you do even if you don't have a particular goal in mind on any one day.
To that end: whatever you do for exercise, enjoy it. Don't feel like you have to run yourself into the ground. Plant the habit and help it grow.
Oh, and also - for similar reasons, easing up on simple sugars and white bread is a good idea, too.
The process of getting fit, changing your diet and working out, will keep your mind off the depression. It will give you more strength and energy. You will end up feeling better.
Cardio activities also involves small challenges and small wins everyday. This will give you a sense of accomplishment. Its a huge morale boost.
But you have to be consistent with the Cardio, and make it part of your lifestyle to rip the benefits.