Diagnosed with depression

I went to the doctor on Monday as i had a really bad weekend and mum and dad were concerned. As they should be. So i went to the doctors and he asked me about my mood, took my weight and height and told me my BMI is 18.8... Errrmmmm he got that ab it wrong since i could get to 7 stone 11 lbs and still be a 'healthy' weight. That aside, he further asked me about my mood and said that i have depression. Lovely. He said, if i make a list of everything i will do that day and do it, not only will it stop my mind from wandering into negativity, but it will help stop my self harming. WOOP. STOP! one major mistake, he told me to exercise, Does that mean i am fat? Well my disordered mind says it does, so i am going to be exercising more and when i go back in a month hopefully i will be not fat. I find that hard to believe. I want to get myself out of depression but sometimes (well all the time) i dont see a way out and as i explained it my parents, Its like you are falling and somehow you at rock bottom and you are still falling. Or there is an endless cave and you cant find the way out. I hope to find a way out someday, i dont want to go on medication because its hard to get off. I does make you happy and thats why its hard. I will do it myself.