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Science Daily:

“Individuals who exercise report fewer symptoms of anxiety and depression, and lower levels of stress and anger,” Smits says. “Exercise appears to affect, like an antidepressant, particular neurotransmitter systems in the brain, and it helps patients with depression re-establish positive behaviors. For patients with anxiety disorders, exercise reduces their fears of fear and related bodily sensations such as a racing heart and rapid breathing.”

And

Smits and Michael Otto, psychology professor at Boston University, based their finding on an analysis of dozens of population-based studies, clinical studies and meta-analytic reviews related to exercise and mental health, including the authors’ meta-analysis of exercise interventions for mental health and studies on reducing anxiety sensitivity with exercise. The researchers’ review demonstrated the efficacy of exercise programs in reducing depression and anxiety.