I recommend walking, personally. It's a safe, gets you out of the house and into the fresh air and sunshine, which are also good for depression. When exercise is mentioned for depression, it usually just means to keep active (ie don't wallow on the couch or in bed), it doesn't have to be strenuous at all. I, too, have depression and I found walking with a friend a really good way to keep motivated during pregnancy and it was good to have someone besides DH to talk to on a regular basis.