At the Canadian Mental Health Association's website:

Exercise For Well-being – Physical and Mental

http://www.cmha.ca/bins/print_page.asp?cid=2-267-354&lang=1

If you already do exercise of some kind, give yourself two pats on the back
– you’re improving your physical and mental fitness.

If you’re wondering how exercise could contribute to your mental fitness,
read on!

A Bit About Endorphins:

* if you’ve heard about “runner’s high” – the euphoria that runners
feel after pushing themselves physically – you’ve already heard about
endorphins
* endorphins are chemicals produced in the brain and they provide
relief from stress and pain
* exercise stimulates the production of endorphins, which is why we
feel good afterwards
* endorphin release varies from person to person; some people will
feel an endorphin rush, or second wind, after jogging for 10 minutes,
others will jog for half an hour before their second wind kicks in
* you don’t have to exercise vigorously to stimulate endorphin
release: meditation, acupuncture, massage therapy, even eating spicy food
or breathing deeply – these all cause your body to produce endorphins naturally

Exercise has many psychological benefits. For example:

Exercise can reduce anxiety – many studies have come to this conclusion.
People who exercise report feeling less stressed or nervous. Even five
minutes of aerobic exercise (exercise which requires oxygen, such as a step
class, swimming, walking) can stimulate anti-anxiety effects.

Physical exercise helps to counteract the withdrawal, inactivity and
feelings of hopelessness that characterize depression. Studies show that
both aerobic and anaerobic exercise (exercise which does not require
oxygen, such as weightlifting) have anti-depressive effects.

Moods such as tension, fatigue, anger and vigor are all positively affected
by exercise.

Exercising can improve the way you perceive your physical condition,
athletic abilities and body image. Enhanced self-esteem is also a benefit.

Last, but not least:

Exercise brings you into contact with other people in a non-clinical,
positive environment. For the length of your walk or workout or aqua-fit
class, you engage with people who share your interest in that activity.