Studies show that exercise performed in a group setting, can reduce depression and is same or better effective than standard antidepressant medications. For example, a study shows that regular aerobic workouts during the week will cut depressive symptoms by 50%. This proves exercise can affect the mood of the person:

… “Depression is a condition characterized by low energy and moderate tension, something I call ‘tense tiredness,’ ” he said. But exercise has a clear “mood effect” that seems to ease that anxious but lethargic state, he said.

According to Thayer, moderate exercise–a brisk ten-minute walk, for example–results in a boosting of energy, although it may not be quite enough to relieve stress.

“More intense exercise–the amount you’d engage in with a 45-minute aerobic workout–does give a primary mood effect of reducing tension. It might also leave you with a little less energy because you’d be tired, of course,” he said. “However, there’s also some indication from the research that there’s a ‘rebound’ effect an hour or so later, in terms of [increased] energy.”
…

Exercise will not only make you physically healthier, it will improve your mental health as well.

Workouts Can Lighten Heavy Hearts – [Forbes.com]