For me, exercise is critical, specifically running. The combination of physical exertion, repetitive motion, “me time” and getting outside is one of the most helpful things for both ADHD and depression. When I’m not able to run for a few days I feel the difference. There are times I don’t enjoy running, but I almost never regret having gone for a run. This can be hard because depression will tell you it’s so much easier to sit and watch TV or play a game.
I know that not everyone likes running or has the ability or space to do it safely, but long walks, swimming, biking, etc, might be alternatives.