Improvement can be possible in an eight-week trial, which is the optimistic phase. But I would expect it to decline in the longer run when people start facing the severe problems of improving and guys start realizing the girls much prefer to dance with the more advanced guys.
The effects of a salsa dance intervention in young people with mild to moderately severe depressive symptoms - Volume 56
www.cambridge.org
If you can see it, let me know, otherwise it's just guessing.
My guess is that, if depressed person gets some light cardio, mobility, social structure, and company at least once a week, it will help a lot. It will help with most kinds of sickness that I know of.
What was interesting that control group - which was promised salsa classes 12 weeks later - got worsening of social anhedonia over first 8 weeks.