Lift weights, heavy ones. Real talk, you'll feel a lot better afterwards. Use resistance machines rather than free weights, at least when you're starting out. Don't worry about other people in the gym, they don't care how much you're lifting or what your workout is like, and everybody there was a beginner once. Remember to include leg presses/squats.
It won't "cure" depression, but it will hold it off. You should also see a doctor, I don't blame you for being leery of medication, but there are non-chemical treatments available. If you find yourself stuck in patterns of negative thought/have low self-esteem and that's leading to inaction (big co-morbidity with depression there) due to lack of confidence, then talking therapy can certainly help get to the root of what sets your depression off.
Cognitive behavioural therapy is the standard for depression, but mindfulness is also promoted. I don't like the sound of mindfulness, seems like a load of second guessing yourself and an introspective nightmare, but I'm not a medical doctor.