Low T could definitely cause depression.

Of course, there are a bunch of other things that can cause depression as well, so that's just one possibility. Since it's easy to find out whether or not that is an issue, you ought to get that checked.

All the other treatments (exercise, like you are doing, examining your diet, checking your thyroid, considering anti-depressants, doing some kind of therapy, getting enough quality sleep, etc.) should also be looked at. Unfortunately, unless it's something that would show up in a blood test, you will probably have to work through a trial-and-error process to find out what treatment works best for you.

But the point is that depression is very treatable. You don't have to just tolerate it. So please go get it treated.