Combining exercise with conventional treatments for depression does not improve recovery, research suggests.
In the NHS-funded study - published in the British Medical Journal - some patients were given help to boost their activity levels in addition to receiving therapy or anti-depressants.
After a year all 361 patients had fewer signs of depression, but there was no difference between the two groups.
Current guidelines suggest sufferers do up to three exercise sessions a week.
The National Institute for Health and Clinical Excellence (Nice) drew up that advice in 2004.
At the time it said that on the basis of the research available, increased physical activity could help those with mild depression.
"This is a huge disappointment because we were hoping exercise would help lift depression. But we need to bear in mind that these were patients already on medication, so it considers exercise on top of medical care. It did not look at mild depression nor did it consider exercise as an alternative to medication.
"The message mustn't be to stop exercising. Exercise has so many other benefits - it is good in terms of heart disease, lowers blood pressure, has a beneficial effect on the balance of fats in the blood, strengthens muscles, and burns up calories. A lot of people who have depression may have other problems too. And an active body helps to produce a healthy mind," said Prof Alan Maryon-Davis, professor of public health, King's College London.
The latest study, carried out by teams from the Universities of Bristol and Exeter, looked at how that might actually work in a real clinical setting.
All 361 people taking part were given conventional treatments appropriate to their level of depression.
But for eight months some in a randomly allocated group were also given advice on up to 13 separate occasions on how to increase their level of activity.
It was up to individual patients what activity they chose to increase and by how much.
This approach produced good results in terms of encouraging people to do more over a sustained period of time - something which could have benefits to their general physical health.
But at the end of a year, researchers found no additional reduction in the symptoms of depression in the more active group.
Prof John Campbell, from the Peninsula College of Medicine and Dentistry, which also took part in the study, said: "Many patients suffering from depression would prefer not to have to take traditional anti-depressant medication, preferring instead to consider alternative non-drug based forms of therapy.
"Exercise and activity appeared to offer promise as one such treatment, but this carefully designed research study has shown that exercise does not appear to be effective in treating depression."
But he added that GPs were often faced with patients with a number of health problems for whom encouraging an active lifestyle might be of overall benefit.
"The message of this study of course is not that exercise isn't good for you, exercise is very good for you, but it's not good for treating people with what was actually quite severe depression.
"That buzz we all get from moderate intensity of exercise is certainly acknowleged but it's not sustained and it's not appropriate for treating people with depression."
At present, the NHS can refer patients for a course of supervised exercise sessions as part of treatment for a number of illnesses, including depression.
These findings are therefore likely to be taken into account when Nice next reviews its guidelines.
The research was funded by the National Institute for Health Research, a government-backed programme.