Here’s one explanation for why exercise works for mood/anxiety: it remodels our brains to better react to stressful situations.
A study came out comparing rats that exercised (allowed to run) versus rats not allowed to exercise. The rats that exercised grew new neurons in their brains, which scientists called “cells born from running.” These new neurons behaved differently -- while other cells expressed “stress genes” during stressful situations, these new cells remained “biochemically, molecularly, calm.”
Previously, the mechanism by which exercise helps with mood and anxiety has been unclear. This study helps explain that exercise actually “remodels the brain, making it more resistant to stress.” Though the rats exercised for only 6 weeks, it’s not clear how long or how intensely humans need to exercise for this remodeling process to start.