Research has shown again and again that patients who follow aerobic-exercise regimens see improvement in their depression — improvements comparable to that of those treated with medication. Exercise not only relieves depressive symptoms but also appears to prevent them from recurring.
According to Times Magazine:–
“Molecular biologists and neurologists have begun to show that exercise may alter brain chemistry in much the same way that antidepressant drugs do — regulating the key neurotransmitters serotonin and norepinephrine.”
Source: Time Magazine June 19, 2010