I'm assuming that, by "chemically depressed," you're referring to a state of depression caused by an underlying problem in brain chemistry rather than by transitory life events. Typically, this would be related to the body's less-than-optimal regulation of seratonin levels in the brain.
As I mentioned in a thread that appeared a month or two ago on letsrun.com , I recall an article in "American Scientist" (NOT "Scientific American") some years back that discussed laboratory experiments on rats that had been forced to exercise to exhaustion under conditions in which their seratonin levels had been artificially altered. As I recall, the authors speculated that some humans may use endurance exercise as a form of "self-medication" to boost brain seratonin levels and thereby provide some relief from depression.
There are certainly worse ways to deal with depression, but I also think there are more effective ways. You should seriously consider treatment with any of the various prescription drugs known as "selective seratonin re-uptake inhibitors" ("SSRIs"), such as Prozac (or its generic equivalent), Paxil, and Zoloft. Many, many people have obtained excellent results from these drugs. Talk about all of this with a good psychiatrist.