Phili101,
Welcome to the forum!
I'm not a doctor, just another person with TMS, so with that in mind, I will give you my humble opinion to your questions, but first a question for you....
Have you been to a medical doctor to rule out medical/structural causes to your symptoms? That is an absolutely necessary first step. If the answer is 'yes' and you are convinced that you have TMS then (1) yes, you can go to the gym because there is nothing structurally wrong with you (2) yes, it is very common for pain to shift from place to place and this is usually a sure sign of TMS (3) this is such an individualized decision, I'm reluctant to even provide an opinion. I'll just share with you that I, too, have taken an antidepressant for many years and I continue to do so at the present time. I've been able to make progress in my TMS healing while taking it. I may decide to slowly and carefully taper it back when I feel ready.
You will find a great deal of wisdom, experience, compassion, and support on this forum. Share your story with us when you're ready. Best wishes...