Do you understand what happened with this girl? are there questions unanswered? Can you rationalise the situation? Do you need to clarify something with her? Do you want to just get your feelings out? I think some degree of closure is necessary for you to move on. How do you think you could achieve that?
As far as the gym is concerned - this is obviously something you enjoy and associate with flipping depression the bird? I know this sounds absurd and unecessary, but consider doing this - go to the gym, with a book, a book on coping with depression if you like! or just a book. Get a drink in the coffee shop of your gym and sit and read your book for 30 minutes and come home again.
You will have achieved going to the gym. Your brain will be going 'yes I went to the gym check that out!...soaked in the atmosphere,....smelled it's smells, saw it's sights, didn't get overwhelmed with it. I have a handle now on the environment of the gym. check.
Then next time, go to the gym, get changed in the changing room (slightly stressful?) get your butt in the jacuzzi. Relax.............take in all it's stimuli and come home.
Then next time, go to the gym, get changed in the changing room (not so stressful now, delt with that), get on the tread mill and walk for 15 minutes. Get off and come home.
Until......you're training hard and breaking a sweat and the sky is your limit.
I know I sound like a bit of a numpty but the key to surviving this is not what you want but what you can cope with. The two must never be confused, but you can train yourself to break each thing down into managable sections of exposure and you kind of trick yourself. Depresion is a tiny Chimpanzee in a nappy, but not as cute, treat it like one, coax it, talk gently to it, give it the simplest tasks and make a fuss of it when it gets them right.
And yes, it is a sh*g W*n*ing disaster that we have to do such rediculous things, but hey! better to do them in a ridiculous way, than not do them at all.
Some food for thought anyway. Get some thoughts down mate and we'll help you if we can.
Lol