Exercising outdoors seems to be even more effective.
Exercise seems to give you a better sense of control of yourself that in turn gives you more confidence to deal with other aspects of your life. It also seems to alter your brain neurotransmitters (dopamine, serotonin, norepinephrine) in some complex and yet not well-understood way. Of course, like Prozac and St. John’s wort, exercise doesn’t work for everybody. The only way to know is to try it. You’ll probably feel better.