I have to say, exercise is one of the biggest things that has helped my anxiety/depression (along with medicine and therapy). I started exercising in high school by watching these at-home workout videos on TV because I had low self-esteem and was self-conscious about being out of shape. That slowly progressed into me walking around my neighborhood, then running for a min/walking for 2 min, and two years after I started I ran a half marathon. Now (ten-ish years later) I still go to the gym, I rock climb, hike, and just love being outdoors and being active. When I can't workout for a few days I feel a huge difference. I get very anxious, my mind starts getting overwhelmed with negative thoughts, and I start having trouble concentrating and falling asleep at night. As soon as I get back to being active, my mind feels calmer, I feel better about myself, I feel less anxious, and I sleep more soundly. I guess the whole reason I'm writing this is so that if anyone is feeling ambivalent towards exercising, I want to really encourage you to try and integrate it into your life, start with something small and manageable (like a walk around your neighborhood everyday) and commit to it. It can still be a struggle for me, a lot of days I have to drag myself to the gym but I know as soon as I get there and get started, I feel better. For me, realizing how good exercising makes me feel (since your brain releases endorphins and feel-good chemicals when you do it) made me think maybe I actually do have a chemical imbalance that was causing my depression and it actually made me open to trying a medicine (prior to which I had been skeptical). So now I take an antidepressant and I exercise most days, and the combination is enough to get rid of the vast majority of my symptoms, which for me was like a sort of fog that would just descend on me and weigh me down, making everything a huge effort and making me always wanting to cry and to feel so tired and like what is even the point??? Even though I WANTED to do all the things that I knew were good for me and would make me happy. Now, the fog is lifted or maybe is like a very fine mist every once in awhile and I am able to do all of those things. So that's my story, I hope that someone might read it and decide to give exercise a try, and maybe it can help someone else's life as much as it has helped mine.
TL;DR Consistent exercise (in combo with medication) has helped me tremendously, if you have been considering trying to start being active I strongly encourage you to give it a shot.