talking about your depression is a good step, DO go for a walk when you don't really feel like it, if it's 10 minutes that's 10 minutes you went outside to the world that you wouldn't have, if it's longer better yet! Enjoy nature as much as you can, if you follow a spiritual tradition connect with that (eg church, meditation, prayer, etc.), sing along with the radio or if you have a video game with something like singstar DO THAT, you'd be surprised how helpful that is, it makes you breathe more deeply and release your voice, something you might not truly do in regular day to day living!
YES go to the gym if you can, YES walk briskly and get your heart rate up, pretend you're going somewhere if you're not!
Sometimes "fake it til you make it" really is helpful when it comes to mood, and absolutely write, draw, read, bake or make things yourself, do things that are hard- it makes life more fun and more meaningful.