The Cochrane Review (the most influential review of its kind in the world) has produced a landmark metaanalysis of studies on exercise and depression. They picked 23 rigorous studies out of a pool of more than one hundred. The conclusion was that exercise had a “large clinical impact” on depression.
Among the studies that support the theory that exercise directly causes improved mental well-being (as opposed to vice-versa) is one that looked at the effect of exercise on older adults with clinical depression (Blumenthal et al., 1999). The authors compared exercise to a commonly prescribed anti-depressant medication (Zoloft), and found that both were equally effective in reducing depressive symptoms. In contrast to these results, a group of researchers from the Netherlands found that exercise may not be nearly as important as genetics in determining one’s mental well-being (Stubbe et al., 2007). These researchers looked at pairs of identical twins in which one twin exercised significantly more than the other, and found that there was no significant difference in their levels of happiness.
Diet and nutrition can be beneficial to psychological well-being. A supporting study by Hakkarainen et al. in 2004 observed 29,133 older male smokers. Participants in the study recorded their meals, and the researchers examined those men who consumed more fatty acids from margarine and junk food. The researchers found that ingestion of those foods was associated with increased depression, anxiety, and insomnia. However, in contrast to these results, a group of researchers examined the improvements in well-being associated with exercise or micronutrient supplementation. After 17 weeks, the researchers followed up with study participants and found that neither supplementation nor exercise had a significant impact upon the well-being of the participants.
http://www.pursuit-of-happiness.org/science-of-happiness/exercise/Take it for what it's worth. I can say with confidence that the best times of my life included physical training.