No, there is NOT good data that exercise works as well as meds. Those results have not proved repeatable, and few people with clinical depressive disorders find long term effects from regular exercise. That one study keeps being trumpeted, and there have only been a few other studies that have attempted to replicate it, but they have not succeeded. Please please please do not repeat this as a proven thing. It ends up being really damaging. Depressed people end up guilting themselves about not exercising, when the depression is what is preventing them, or overexercising and assuming they're doing something wrong when they don't get the promised effects, or stopping other forms of treatment because of these promised effects.

A lot of people don't even get short-term endorphin rushes from single exercise sessions, either.