I know one woman who feels better from her anxiety and depression when she is running regularly. For me, when I'm really ill I can't get out of bed and I can't exercise. I tried to take myself to the park one time with exhaustion and horrible suicidal thoughts and I tried running with them. I only did that once. It was unpleasant getting to the park and unpleasant running with suicidal thoughts. I used to drag myself out of bed around 4 pm for a walk so I wouldn't be completely bedridden, then I got more bedridden and that stopped. At the moment I am not bedridden (thank you LSD) and so I do exercise. Because whenever I run I injure my knee, I am now doing fast walking for weight loss. I say that, I need to get decent shoes before starting it properly. You have to walk at a certain MPH for walking to be a good cardio exercise, and fast enough that you are out of breath, and I believe for 45 mins?
I do sometimes feel better after a dance class or after yoga - so it can help - but for me if it helps that feeling doesn't last, and the depression comes back. I might get an afterglow of 10 mins if I am lucky.
When I am feeling better (like when I have medications work for a few weeks before it conks out) then I love to exercise! There were two weeks where I was feeling happy due to a supplement that I got out of bed and enjoyed yoga soooo much.