In a survey of 200 English general practitioners, the Mental Health Foundation found 22% suggest exercise to help people with milder forms of the condition. This compares with just five percent in a similar survey three years ago.
The foundation said it was important that doctors did not just prescribe anti-depressants for patients and looked for other options.
Research has shown that exercise can help people with mild forms of depression by improving self-esteem through better body image or achieving goals and by relieving feelings of isolation which can fuel their depression. It also releases feel-good brain chemicals, such as endorphins.
Celia Richardson, campaigns director for the Mental Health Foundation, said, "It can help people physically, socially and biologically. They often meet others who have been in the same situation as them, but are now further down the line and feeling better."
The survey found there is now a wider belief by GPs that exercise therapy can be beneficial.
Three years ago, 41% thought it was "effective or very effective, rising to 61% now. But half of the GPs questioned did not have access to an exercise referral scheme. Two-thirds of these doctors said they wished they had.
More patients are also interested in how exercise can help them one in six GPs say they have noticed an increase in the number of people asking whether exercise could help them.
Exercise programs run by the Mental Health Foundation, partly funded by the Department of Health, are now available in Bedfordshire, Cambridgeshire, London, Northamptonshire, Redcar and Cleveland and the Wirral.
People referred under the schemes are given a personal trainer who can devise a suitable exercise regime for them. Results from the six areas will be published next year.
Andrew McCulloch, chief executive of the foundation, said, "There is a real need for increased availability of exercise on prescription so that it is accessible alongside anti-depressant medication and psychological therapies. Depression is a complex illness it is important that GPs have a range of treatments to offer and that people with depression have a choice."
Professor Steve Field, chairman of the Royal College of GPs, said GPs did recognize the benefits of exercise in treating mental illness. "There is now more awareness and increasing evidence that it works, and the overarching feedback from patients is incredibly positive."