The mental feel-good factor comes from the production of endorphins that are produced within the Brain during physical exercise.
The Brain depends on serotonin and other neurotransmitters such as dopamine to function correctly; a healthy brain should not therefore become depressed.
However, the problem with SSRI's is that they only work on the amount of serotonin that is already present within the brain which may already be inadequate & below normal levels anyway, instead of supplying nutrients that replenish these neurotransmitters and build even more.