I think you can develop lasting friendships doing pretty much any group activity. But it can require a lot more effort (perhaps on your part) to get the ball rolling. Depending on the activity, you probably won't be having deep (or any) conversations while doing the activity, so you need to actively engage with people before or after the activity. That might be very small at first, but over many weeks or months might grow into grabbing a drink or meal after the activity, and being open to starting deeper conversations.

I'm terrible at this. I struggle to push myself to ask deeper questions of new friends, feeling like I'm being intrusive or prying, but I think it's necessary to do this in order to move forward. When we were in college, making friends was easy, because there was a shared experience right in front of us to talk about, and that could naturally lead to deeper conversations. As we get older, that isn't really there, and it takes active, deliberate effort to get there.