Aside from the wonderful health benefits. A key, often overlooked reason on why exercise helps with anxiety, is that exercise mimics a lot of the negative symptoms in anxiety! For example, the sweating, rapid heartbeat, fast breathing, all of these symptoms are felt with anxiety.
By manually creating these symptoms, you train your body and mind to deal with these symptoms on a daily basis and to learn that they are nothing bad at all and they can be handled easily by your body.
The more you expose yourself to these symptoms, the easier it gets for your body to respond to them and realize it’s nothing to worry about.