According to a report in the New York Times, exercise helps prepare your brain to deal with stress, making you "less anxious".

In the experiment, preliminary results of which were presented last month at the annual meeting of the Society for Neuroscience in Chicago, scientists allowed one group of rats to run. Another set of rodents was not allowed to exercise. Then all of the rats swam in cold water, which they don’t like to do. Afterward, the scientists examined the animals’ brains. They found that the stress of the swimming activated neurons in all of the brains. (The researchers could tell which neurons were activated because the cells expressed specific genes in response to the stress.) But the youngest brain cells in the running rats, the cells that the scientists assumed were created by running, were less likely to express the genes. They generally remained quiet. The “cells born from running,” the researchers concluded, appeared to have been “specifically buffered from exposure to a stressful experience.” The rats had created, through running, a brain that seemed biochemically, molecularly, calm.

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