Exercise and Mood
A number of studies show that aerobic exercise can significantly improve the mood of mildly depressed individuals. Both non-aerobic (such as weight lifting) and aerobic exercise can help with insomnia, reduce irritability, and create a sense of mastery and accomplishment. Regular exercise also reduces the possibility of having another episode of depression. One large study found that those who exercised regularly had 1/3 the risk of having another episode of depression as those who did not. In fact the relationship of exercise and mood is one of the most important ones that we know of.
A large review of the available literature (Journal of Clinical Psychiatry v. 63, page 7, July 2002) concluded that regular aerobic or non-aerobic exercise were roughly comparable to psychotherapy in the treatment of depression.
Exercise helps to reduce anxiety, although that effect tends to last for only a few hours. There is some evidence that exercise, because it improves blood flow to the brain, can help to prevent memory problems, as well as improve mood. Clearly, as people lose weight and become stronger they become more self-confident and they develop a sense that they can make other changes, too.
Participating in group exercise may be a very useful approach for those who have had trouble continuing an exercise program. A more expensive option that has even higher rates of success involves using a professional trainer.
Many people find that resuming a form of exercise that they did when they were younger can be a good anti-depressant: dancing, a martial art, a sport.
A good resource for more information is provided by the American Heart Association Fitness Center.