It is shown and proved by researchers that physical exercise has many advantages and beneficial effects. They have also come to a conclusion that exercise helps shield your brain from stress induced depression.
Practicing or following a daily course of exercising has ability to induce changes in skeletal muscles that can clear the blood of a substance that gets accumulated during stress and is harmful to the brain health. A follow-up to the study found that the effect of exercising lasted longer than those of antidepressants.
It was also found that people who did daily work outs and regardless of undergoing any treatment were originally less likely to fall into depression.

A study which was published in 2005, has shown that walking fast (brisk walking) for about 35 minutes a day five times a week can have a significant effect and influence on mild to moderate depression signs. "Skeletal muscle appears to have a detoxification effect that, when activated, can protect the brain from insults and related mental illness," said principal investigator Jorge Ruas from Karolinska Institute in Sweden.

Besides helping you cop-up with depression, regular exercising offers you other health benefits too namely lowering blood pressure, protecting you from heart diseases and other forms of cancer.
How often you need exercise to keep away depression is not very evident but half an hour of work outs such a brisk walking, and other exercise forms proves to be beneficial.