I’ve been reading a really interesting book lately about exercise, overcoming depression and improving well-being. The authors Michael Otto and Jasper Smits explain the mental health benefits of exercise.
1.Its preventative. People who exercise regularly are less vulnerable to depression and anxiety, and exercise is linked to decreased stress
2.It’s a treatment. Exercise helps people overcome depression and anxiety on its own, in combination with therapy and/or medication
3.It has immediate benefits of improving mood in the very moment
4.For people who are not mentally unwell but feel down or sad, exercise can help restore normal mood
How does it work?
Exercise is a stressor that leads to increased heart rate and blood pressure, this actually helps the body respond to stress with lower physiological (heart rate, blood pressure) and psychological (mood and anxiety symptoms) responses
Exercise increases the release of serotonin, the neurotransmitters that give us normal mood. They are also released by medication commonly prescribed for depression and anxiety
How can you get started?
Think about making small increases in your daily movement, activity levels.
Go for a walk around the block
Make it social, walk with a friend or family member
Choose to take the stairs rather than the elevator
Do some gardening or clean up outside
Talk to a psychologist about motivation, planning and maintaining an exercise routine
And there are some good tips here:

Reference:
http://www.webmd.com/fitness-exercise/guide/fitness-beginners-guide#1
Otto, M.W. & Smits, A.J. (2011). Exercise for Mood and Anxiety: Proven Strategies for Overcoming Depression and Enhancing Well-Being. New York; Oxford University Press.