“The greatest mistake in the treatment of diseases is that there are physicians for the body and physicians for the soul, although the two cannot be separated.” –Plato
In the United States someone with depression or anxiety goes to a doctor saying they are depressed. The “first-line” of treatment they will be advised to follow are antidepressants and some form of psychotherapy. In contrast, in places like the United Kingdom, the Netherlands, and Canada exercise is considered a “first-line” treatment. Running is My Therapy by Scott Douglas lays out the research on why running in particular is a good “first-line” treatment option for people with mild to moderate depression and/or anxiety.
You will find this book thorough, cogent, and life-changing if you are interested in why running is so good for moderating mood.