Have you ever felt depressed after a workout? I haven't. It can be difficult to get started exercising when you're depressed or when you haven't worked out for a long time. You just have to make yourself do it some how and stick to it. It might be hard at first because you're out of shape and you might feel sore after, but if you stick to it you'll thank yourself. Exercise helps with so many common problems associated with depression, like low self esteem, fatigue, insomnia and depressed mood.
I think the best kind of exercise isn't too easy and isn't too hard. You need to challenge yourself a bit to get the full benefit and the feeling that you accomplished something, but you don't want to work so hard that you're exhausted after and really sore the next day. You want to feel energized and relaxed after. You should experiment with different workouts and find the one that gives you the results and feelings you want.
If you don't know much about working out then it might be a good investment to workout with a personal trainer. They'll show you the exercises best suited for you and how to do them correctly to get the maximum benefit.
By the way, going to the gym is a great way of meeting people.
By the way, exercising outside during the summer is a great way to get some fresh air, get a tan, and get some vitamin D from the sun.
Hope you're feeling well