A study of 5,952 pairs of twins, 1357 of their siblings and 1,249 of their parents looked into the links between genetics, exercise and depression. Lack of regular exercise has been associated with anxiety and depression in a number of studies but it is not known whether this effect is due to the lack of exercise itself or another unknown factor present in people who take little exercise and suffer from anxiety and/or depression. The study - carried out in the Netherlands - found that the links between exercise and anxiety and depression were small and best explained by common genetic factors. In identical twins the twin who exercised more did not display fewer anxious or depressive symptoms than the twin who exercised less and over time increases in exercise participation did not predict decreases in anxious and depressive symptoms.
De Moor, Marleen H. M. ... [et al] - Testing causality in the association between regular exercise and symptoms of anxiety and depression Archives of General Psychiatry August 2008, 65(8), 897-905