The problem with arguing with science is that it is often an uneven contest, a bit like hitting a steamroller with a stick of rhubarb. You have emotion, anecdotal evidence, a sixth sense; they have hard facts. And the facts here are seemingly indisputable: a new study, conducted by proper university academics, sufficiently large-scale, randomised and controlled, has confounded the experience of countless depression sufferers. The conclusion: all that exercise, the running, cycling, swimming, walking that you did to help you through the dark days of an illness that no one really understands was basically of no benefit to your state of mind. In short, exercise doesn't help.

The research, published in the British Medical Journal, seems robust. More than 360 patients aged 18-69, who had recently presented with depression, were selected. Half were offered standard care, the other half received additional "facilitated physical activity intervention" – an exercise coach who devised and monitored a programme for them. Patients were randomly divided so that neither group was skewed in terms of fitness levels.

The outcome was surprising. Exeter University professor John Campbell put it succinctly: "This carefully designed research study has shown that exercise does not appear to be effective in treating depression."

That's certainly baffling to me. The National Institute for Health and Clinical Excellence has been recommending for the best part of a decade that depression patients be encouraged to exercise, up to three times a week if possible. There were spells in my own illness when I was too weak to exercise. But even then the medical advice was to try to do something active: a short walk, gentle gardening. And every time I got out to yomp in the park, I felt better. Once I was stronger, every swim, every cycle ride and eventually every game of football left me buzzing. It's not just the chemical effects on the brain, which I admit I am not qualified to talk about with any authority. It's the fact of taking yourself out of yourself for a few moments, forgetting your predicament, changing the wallpaper and breaking the cycle of rumination, mental agonising and loneliness that depression can inflict.

Since writing a book about depression, I have received a regular feed of emails and tweets from fellow travellers. Not all of them mention exercise. But many do. And many people immediately took objection to this research on Wednesday, on Twitter and other forums. "I think they're mad! Key to my recovery from depression has been running – it's kept me v well," said one tweeter, Medwyn. Another, Susan Sanders, added: "Getting sweaty in a gym maybe not, but an hour's walk outside daily saved my life."

So how to reconcile the anecdotal evidence with the empirical science? Perhaps both are slightly mistaken. We depressives are not to be trusted when we declare what is good for us. Often there are too many variables changing to know which is the one that is helping. It seems to make sense that exercise helps, but perhaps that's a virtuous circle. We think it's going to work, so it does.

As for the scientists, one thing about their methodology strikes me as slightly awry, and that is the notion of "facilitated physical activity intervention". Being told to exercise might have a very different psychological effect to doing it autonomously. One depression sufferer, John Lake, told me recently that he had done the London marathon and triathlon. He felt so great, he came off his antidepressants. "That's why I found the running was great. It was taking back control from the medicine." There's something in that notion of empowerment that can be very nourishing to someone who has spent months, years even, hopelessly reliant on others.