How do you make physical activity... not boring?

I recently discovered that physical activity actually DOES have a positive effect on my mental health.

All my life I looked at exercise as something you do when you want to lose weight, so it kind of made sense that I couldn't find anything I enjoy. But I'm actually noticing that my mood is better after I move a little.

The problem is, exercise bores the hell out of me.

I've tried jogging, exercising at the gym, hula hoop, exercising at home, jumping rope, abs wheel, swimming, yoga, dancing and probably a lot more that I can't remember now. I always got bored after a few weeks at most.

Exercising while watching a show or listening to an audiobook doesn't work that well for me, but I did stick to hula hoop and jumping rope the longest since I could do it while I watched something.

I actually love swimming in lakes, but a swimming pool is just going back and forth with awful music playing on the speakers. I also despise having to change into a swimsuit and out of it, so I gave up after a few times.

I also love roller skating and do it when the weather is nice, but it's not an option in winter. Ice skating is not the same, you just go in circles and there is no variety.

Is there some magical way to make exercise interesting, with limited funds? I don't enjoy group activities, but I tried several classes and hated it.

I know I sound like a chronic complainer and like I'm only making excuses, but I would really like to find SOMETHING.