Not everyone's depression is the same. For some people depression is episodic and goes away. For others, a great many others, severe depression is a constant companion. Every minute of every day of every year of your life, and it's the episodes of not being depressed which are temporary and go away.
That said, exercise has been shown to be helpful for depression of every sort (generally at least as effective as drugs, on average).
I did not mean to lump all depression into one boat, and while I personally do not know that kind of deep long-term depression, I do know the kind of that effects entrepreneurs. There are so many ups-and-downs that it can be hard to weather a deep trough if you are not prepared. I do not know your company or work situation, but I know it can be an extremely lonely and long road working on company. The only thing I know that benefits everyone is exercise. It is a good thing to focus on because even if everything else in your life is going in a direction you can't control, it is one thing you can control and constantly improve upon. And the benefits are long lasting felt in every area of life.
That said, exercise has been shown to be helpful for depression of every sort (generally at least as effective as drugs, on average).