Hint: it's easier to get somebody who's depressed on pills than on exercise. I'd recommend starting with drugs and talk therapy and getting the patient into exercise more gradually.
If you look back historically, you'll find that lots of people had melancholia, so it's not a new thing. We don't know how much of the working classes were depressive, because as far as I know nobody bothered to survey and record. At times, the working classes had incredible alcoholism problems, which suggests depression to me. We do know that it's possible to be physically active and depressive (when it hit me hard I was walking briskly about five miles a day). Also, if exercise is as effective as drugs, well, we know that the drugs, while useful, don't just cure depression.
I see no reason to believe that a simpler life with more manual labor would effectively cure depression.
Also, eating more citrus fruit will cure scurvy. Does that mean scurvy isn't a real thing?