Robert, I have fought my own battles against depression. Unless someone has been there, it’s hard to understand. There were times when I WANTED to do things/be social but my issues with stress and anxiety wouldn’t let me. So I know it’s not as easy as to say “Get your dog more training.”
Trust me when I tell you this though, NOTHING makes me feel better than exercise, especially walking.
I hope that walking your dog more will benefit you both.
All the best to you!