Because of the nature of the research, we can't say that exercise alone was the reason people were less likely to get depressed. Other associated factors, such as long-term illnesses, might also be involved. There are other limitations to the study, which may make the results less accurate. For example, many of the pooled studies relied on people self-reporting the amount of exercise they did, which can be prone to error.
Nevertheless, this comprehensive study adds to previous evidence suggesting exercise is not just good for reducing symptoms of depression, but may also prevent it.