If the site is not directly related to yours, it won't necessarily hurt you but it may not help you as much as some that are closely related to your content.
In this case, since you mentioned that the you have an article related to fitness, why not put the link to his site on the article that talks about fitness and vice versa. Does he have an article that discusses depression or topics related to your site? Ask him to place the link to your site in that article.
And most importantly try to make it a contextual link exchange. In other words, add the link to his site within an article and have him do the same for your site.
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