I think an overlooked factor as to why exercise is so beneficial is the fact that you may be outside, soaking in sunrays, fresh air and depending on where you are, the beauty of nature. Jogging or hiking in the woods comes to mind. Also, if its a competitive sport (with the emphasis of fun) then the social component can play a big role in alleviating depressions.

If for some reason one is limited to do such exercising there's always meditation at home. Thats an exercise too that can help stimulate the brain and hormonal balance.

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The greatest wealth is health. ~Virgil