No, it doesn't. I've cycled for 50km on weekends, I've "hiked" 17km (walked between cities lol) a few times to try it. Yeah, it feels good at the end. And then it's back to the normal depressed state.
Agreed. I am also an avid bike rider and 50mi is my standard Saturday morning ride (the more hills the better!). It does feel great, both while doing it and for the better part of the day afterwards. There's a clarity in it that I lack in my day-to-day existence. But it never lasts.
I've had a tough time lately, mentally, and went on a bike tour with my dog to a state park 40 miles away for 2 days. Over 100lbs of load. Hiked a good 10 miles while there. Rode back. It felt great and life had clarity for all of 24 hours after.
There's a lot of good reasons to exercise, but alleviating depression isn't one of them in my experience.