Study 1
http://psycnet.apa.org/journals/ccp/55/5/748/

We compared the effectiveness of an aerobic and nonaerobic exercise in the treatment of clinical depression in women.
A total of 40 women, screened on the Research Diagnostic Criteria for major or minor depressive disorder, were randomly assigned to an 8-week running (aerobic), weight-lifting (nonaerobic), or wait-list control condition.

Subjects were reassessed at mid- and posttreatment, and at 1-, 7-, and 12-month follow-ups. Depression was monitored by the Beck Depression Inventory, Lubin’s Depression Adjective Check List, and the Hamilton Rating Scale for Depression; fitness level was assessed using submaximal treadmill testing.

Results were remarkably consistent across measures, with both exercise conditions significantly reducing depression compared with the wait list control condition, and generally appearing indistinguishable from each other. No significant between-group fitness changes were noted. These findings indicate that both types of exercise conditions significantly reduce depression and that these results are not dependent on achieving an aerobic effect. (PsycINFO Database Record (c) 2012 APA, all rights reserved)

Study 2
http://www.amsciepub.com/doi/abs/10.2466/pms.1992.74.1.79?journalCode=pms

Both aerobic and non-aerobic exercise reduced self-reported levels of depression.
non-aerobic exercise was superior for increasing self concept (self esteem).

Study 3
http://www.amsciepub.com/doi/abs/10.2466/pms.1995.80.2.523?journalCode=pms

Bodybuilding training, produced a significant decrease in depressive symptoms.
It is proposed that this is due to observable progression and physical changes, over a short period of time.
Just try not to become an arrogant bellend if you start bodybuilding