Exercise is also prescribed as an adjuvant treatment for depression. Most probably act by

Endorphins ("endogenous morphine") are endogenous opioid peptides that function as neurotransmitters. They are produced by the pituitary gland and the hypothalamus in veebrates during exercise, excitement, pain, consumption of spicy food, love and orgasm, and they resemble the opiates in their abilities to produce analgesia and a feeling of well-being.Ref: Ganong&;s review of medical physiology; 24th edition