Lost and depressed. Any advice.

I'm 21 and in college, I have an amazing boyfriend whose family more or less accepts me unconditionally. My parents can be understanding at times. So by no mean am I not carried about. But I'm so unbelievably depressed. I went to therapy at my university and they gave me psychiatric consult and from that deduction I'm just lazy and need to exercise more. They set me up with a personal trainer but nothing has gotten better. Now I'm just tired and depressed. I just don't know what to do. But I'm sinking deeper and deeper into feeling so unbelievably lost.  Any input and or insite would be very appreciated.