There is quite a lot of evidence to suggest that exercise improve one's mental health. However, most of the research done so far has concentrated on people who already suffer, to some extent at least, from depression and anxiety. A team of researchers from the University of Gloucestershire and the University of Hertfordshire investigated whether exercise could improve mental health in a sample of 100 students. Students are known to be at greater risk of developing mental health problems because of worries about their studies, finances and moving away from home and one study found that they were 64% more likely to experience symptoms of mental ill-health than other young people. The researchers found that those students who engaged in high levels of physical activity showed significantly lower levels of depression and anxiety than the medium- and low-physical-activity groups and the more the students exercised the less depressed and anxious they were.
Tyson, Philip ... [et al] - Physical activity and mental health in a student population Journal of Mental Health, 2010; 1–8, iFirst article