This is due in part to changes that take place in the brain during exercise. The so-called 'runner's high' is caused by a potent cocktail of hormones - possibly including a neurotransmitter called anandamide, from the Sanskrit word for 'bliss'. On top of this, staying active is likely to boost self-esteem, serve as a distraction from negative thought spirals, and improve your quality of sleep.
This is a companion discussion topic for the original article at https://patient.info/news-and-features/the-best-exercise-to-try-if-you-have-depression