There are varying degrees of depression, and YES lack of exercise can get you down. You've experienced it, do what makes you feel good, and be happy that you can overcome your depressed state by exercising and not with drugs!
In answer to your question? No.
Depression is not dependant on people exercising or not. It is far more complex than that.
Exercise is, of course, a benefit for any human being as it gives our whole system the work out it needs. But it is NOT the key to depression by any measure.
You're right on with this! You are used to having a physical way of releasing energy, without that, you get down. Exercise, even just walking will help!
Its like you said you got endorphins relieased when excercising which make you feel good and often giving the name a runners high. It just sounds like you need more activity of other kinds then just school and work. More then likly you will feel much better