Every fourth person in North America and Europe experiences at least one episode of depression or anxiety disorder over their lifetimes. Research on the impact of exercise on depression, anxiety, and well-being illustrates a positive effect on various measures of mental health by inducing the same neurobiological alterations as antidepressant drug treatment. It has shown to be less costly, less time-consuming, and have less side effects than medication or psychotherapy alone. Exercise also stimulates the growth of new nerve cells and induces the release of growth factors which improve the health and survival of nerve cells. This text reviews these neurobiological mechanisms.