Look into the C25K running programs. Yes, I said the "R" word.
Couch to 5K is just that. How to go from getting off the couch to running a 5K Run.
Three times a week, you get out there and run. The first week is just getting out the door and walking & running. This gives your body to adjust and adapt.
Good running shoes and post-run stretching are good things. Go to a sports shoe store to get proper fit and advice for the shoes.
There is something about running. First half mile I always think, this sucks but gets easier after that. I make it a point to run T Th Sat (routine is good).
The night before I set out my running shirts, shorts, socks, shoes; everything is ready to go and gets me into the groove.
I've finished the 5K, still make my neighborhood loop on that day of that distance. Then jump on the bike and do 12 miles (T Th) to 20 miles or more on Saturday/Sunday.
Exercise and nature help with depression. Setting and sticking to a routine help. If I didn't have four dogs telling me, "I got to pee" some mornings I would never have gotten out of bed. Years of SSRI helped when I was at my lowest point, but today just having my exercise and running partner (Golden Retriever) then go biking is my best medicine.