A new meta-study that examined 97 previous research studies on the effects of exercise on mental health, found that exercise was effective at reducing symptoms of depression and anxiety across a variety of mental health conditions (1).
And more importantly, vigorous exercise was as good or better than psychiatric medication and psychotherapy for reducing symptoms of depression and anxiety(1).
A tremendous amount of research has been conducted examining the neurophysiological effects of exercise and there is no doubt that is has positive impacts on stress-response, neurogenesis, systemic inflammation, attention, and mood (2). In fact previous studies have already shown that exercise can be better than anti-depressant medication for treating depression (3, 4, 5).
This meta-study found that while all types of exercise are beneficial, strength training had the largest effect on depression and yoga had the biggest effect on anxiety. It also showed that higher intensity exercise has bigger effect sizes on depression than lower intensity activity. This is likely due to the fact that high-intensity and vigorous exercise stimulate neurobiological and hormonal activity that aren't activated by light activity.
The good news is you don't have to exercise for very long to get these benefits. 30-45 minutes seems to be a sweet-spot but it's possible that even shorter-duration high intensity exercise can deliver similar results.
So while any physical activity, can help, if you're looking to recover from depression, then 30 minutes of intense exercise 3-4 times a week is one of your best options. And if you're trying to manage your anxiety, starting a regular yoga practice is a good place to start.