There are two phases for participants: intervention phase (3 months), which consists of intensive contact, and the follow-up phase (6 months). BA will consist of one, 45-minute session about public health recommendations, and strategies for getting started. SHE will be a 12-week intervention consisting of 1x/week supervised exercise plus exercise prescriptions for home-based exercise with the goal of gradually achieving the public health recommendation of 150 minutes/week of moderate-to-vigorous physical activity (MVPA), CBEX and HE sessions will be individual, 30-minute, weekly sessions during the intervention phase. CBEX will address barriers to physical activity that are particularly pronounced in depression -i.e., anhedonia, decreased motivation, and decreased energy, as well as poor problem-solving skills. During the follow-up phase, groups who received SHE during the intervention phase will receive brief, monthly phone check-ins from an exercise specialist.