You have certainly done the right thing in reaching out and talking with your doctor about ways in which you can get help. And your doctor is right! Exercises and activities, like running, that get your heart rate up and the oxygen flowing have been proven to improve overall mood and lessen the crippling effects of depression.
Serotonin is the chemical in the brain that controls happiness and one's overall mood. A peep inside the brain of a severely depressed individual will reveal very imbalanced serotonin levels. Fortunately though, exercise and cardio vascular activities help reverse this imbalance, and improve serotonin levels. On a short term level, exercise releases endorphins, which are hormones in the body that promote pain relief, euphoria, and feelings of pleasure. Exercising will give an immediate endorphin release, meaning that you might notice at the end of your run that you feel a sense of mental "lightness," elation, and just an overall sense of gratitude, satisfaction, and happiness. In fact, the common phrase "runner's high" is actually referring to this exact endorphin release.
Long term, though, regular exercise is a physical way to work out frustrations, anxiety, and stress on top of leveling out imbalanced serotonin levels by increasing blood flow to the brain. Oftentimes, depressed folks feel overwhelmed and despairing, as if the weight of the world were on their shoulders with no idea of how to move it. Exercise gives individuals a physical way to move their bodies and release bodily tension, often leading to feelings of released mental tension and depression as well. And repeated and regular endorphin releases will mean an improvement in depression as well, as endorphins have been dubbed the body's natural anti-depressant. Plus, the physical benefits of running (such as weight loss, muscle tone and definition, and improved running performance overtime) may translate into increased self confidence and feelings of self satisfaction, which are important to helping decrease depression and depressed periods. Not to mention, running and exercising might introduce you to a whole community of people with similar exercise interests. Being social, engaging in human interaction, and making new friends has been proven to help decrease the effects of depression as well.