If you were to stumble upon this women's running group on an afternoon stroll around leafy Knole park in Sevenoaks, Kent, you would hear much banter, laughter and good-natured complaining. You would witness effort and determination to keep going (especially up the hills), great camaraderie and support and, at the end of the run, a "mission accomplished" glow of pride among the participants. While you might hold the view that anyone who runs on a regular basis is a little unbalanced, you would have no cause to associate these particular women with mental health issues. But all of them have had – or still have – trouble with depression, anxiety or low self-esteem.

The group – Up and Running – was started two and a half years ago specifically to support women with mental health issues. One of its two founders, Harriet Heal, is a clinical psychologist, while co-founder Shona Campbell is a running coach with first-hand experience of depression. "I suffered from recurring depression for many years, and had various forms of treatment and medication," she says. "Then, 10 years ago, I learned to run and it transformed my life."

The idea for the group came about when Shona and Harriet, also a runner, started to talk about exercise and depression. "We realised we both shared the view that exercise was beneficial for mental health and we wanted to pass on the pleasure we've experienced from running to others," says Campbell.

A worthwhile aim, and one to be applauded, you'd think; but although they received a little funding from Sevenoaks district council and NHS West Kent (which they put towards publicising the group and other expenses), not everyone was behind them.

"Some GP surgeries weren't willing to put the poster up," says Heal. "They said there was no evidence that exercise worked, or contested that a women-only group was sexist." Meanwhile the local newspaper, the Sevenoaks Chronicle (in which Up and Running had placed an ad) reported that the poster had them "in stitches – for the wrong reasons", with the idea of an exercise and mutual support group for depression and anxiety sounding "like a barrel of laughs". While the newspaper subsequently issued a written apology, it shows how far sections of society still have to go in removing the woeful misconceptions and stigma attached to mental health issues.

"What people don't appreciate is that there's a big difference between being depressed and being miserable," Campbell tells me as we jog along, she expertly keeping the group together by leading from the back and shouting last-minute changes of direction to those getting ahead. "These are all strong, articulate, bright, witty women, from all kinds of backgrounds. And they all have mental health problems. Depression often hits people who are very strong, driven and hard on themselves."

So how much are they encouraged to talk about how they are feeling? "We emphasise that it's a running group, not a therapy group, so there's absolutely no pressure to talk about mental health at all," says Heal. "However, women often do choose to talk about what they are experiencing, and find it helpful. I think it's important that talking about problems is interwoven with discussion of other aspects of people's lives – it's a part of the whole, not some special 'other' thing, but part of ordinary life. That's normalising and destigmatising."

Campbell often draws on her own experiences and uses personal anecdotes to get people talking and to get "the elephant out the room" as soon as possible when a new group begins. "Sometimes people talk about painful things, but sometimes we just have a laugh and a gossip," she says. If the run I join on a sunny autumn afternoon is anything to go by, it's a far cry from the glum procession its detractors might imagine.

Whatever the attitudes of outsiders, though, what really counts as far as Heal and Campbell are concerned is what the women themselves think. So what has the response been? "Our impression is certainly that the majority of the women do experience at least some benefit from the group," says Heal. "It seems to be the combination of exercising outdoors with the social and mutually supportive aspect of being with other people who have experienced similar problems."

It's this latter factor that appealed to Rachel, a longstanding attendee. "You aren't ever judged," she says. "You can have good days or bad days – you are welcomed just the same and everyone is really supportive."

Alexis, another regular, agrees. "It's about the camaraderie and support of the group as much as the physical thing of actually running," she says – though she admits she's been amazed how much she's got out of the running too. "When I first heard about the group, I thought it wouldn't work for me. I don't like doing something if I think I'm going to be the worst at it, and I was a bit dubious about it being outside. But I saw a colleague doing it and she looked really happy – so I thought I'd try it."

As a running coach, Campbell says she would normally be working towards a specific distance or duration to be accomplished within a set time period. But she approaches the Up and Running group differently. "We don't want running to be another pressure, another stick for the women to beat themselves up with," she explains. So while running distance gradually increases from week to week, there's no end goal that must be reached. But participants do get "homework" – another run between the weekly sessions.

While there is not yet enough data to make meaningful conclusions about the long-term mental health benefits of taking part in the Up and Running course, the feedback so far shows that 90% of participants believe the group has had a positive impact on their mood and mental health – a full 100% say they would recommend it to others. On the feedback forms, one woman writes: "I would not have started running without the help of this group, and now I have a way of stamping on the 'darker' days and keeping myself healthier physically at the same time." Another says: "I feel my mood has improved as a result of the running – I feel more cheerful and positive."

Such tangible payoffs certainly counter the findings of a widely reported study, published earlier this year in the British Medical Journal, which concluded that exercise didn't help alleviate depression. The ensuing headlines – such as "Depressed? Exercise won't help you" – rankled many of us who find running, zumba or knocking the living daylights out of a punchbag a helpful way of throwing off the "concrete blanket" that occasionally, or frequently, engulfs us – and also drew condemnation from some within the medical profession and research field.

One of the biggest criticisms was that the study didn't actually measure the effect of exercise but the effect of advising and offering exercise. As Sci Curious, a blogger for Scientific American, points out, the people in the physical activity intervention did not end up exercising more than the control group, making the researchers" conclusion questionable.

And anyway, a month after the study was published, an updated Cochrane review assessing no less than 32 trials deemed acceptable for inclusion concluded that: "exercise seems to improve depressive symptoms in people with a diagnosis of depression when compared with no treatment or control intervention".

"I couldn't believe that news story saying exercise doesn't help with depression," says Mary, when the run is over and we are "refuelling" in the sports centre cafe. "OK, I can understand perhaps if you went on your own, in horrible surroundings – but the social aspect and the mutual support is so important. And being out in beautiful surroundings is really uplifting too."

"Any study will, of necessity, look at a small number of specific measurable aspects or symptoms, and often the underlying model is very much a medical/disease model, so that outcomes are either 'ill' or 'not ill' according to a cut-off based on clinical norms," explains Heal. "As far as Up and Running is concerned, some women have had an improvement in symptoms, as measured by a self-report inventory (we use the Hospital Anxiety and Depression Scale), but when the change in symptoms is small or negligible that does not mean they have not experienced some important changes in wellbeing. These might be a boost to self-esteem, an improved sense of self-efficacy or a change in body image.

"There are also all the social support aspects – sometimes the group gives people a sense that they are supporting others as well as getting something for themselves."

Mary was part of the first ever Up and Running group back in February 2010. "Six of us from that first group still meet twice a week," she says. "You know that every Wednesday and Saturday, a group of people will be there waiting for you. It gives accountability."

While some groups bond better than others, it is part of Up and Running's goal to get participants to continue running together after their 10-week course has finished, creating their own mini support networks. "There are now weekly get-togethers for 'graduates' from any course to come on – to have a run, a chat, and maybe get a bit of advice or support and the chance to meet other women in the same boat as them," says Campbell.

Given that depression affects one in four women in Britain at some point in their lives, I suspect that there's a lot more mileage in Up and Running. "I feel passionately that I want to share this experience with other women in the same position that I was in," says Campbell. "To help them as I have been helped, and make something positive out of my experience of this illness. Running can be a powerful positive factor in more areas of life than just the physical."

• Up and Running's 10-week courses start regularly. Each session costs £2 and runs from Sevenoaks Leisure Centre, Kent.