To begin with, you do not have to get a lot of exercise; what's important is regularity. Various studies show that the minimum quantity needed to affect the emotional brain is 20 minutes of exercise three times a week. The duration seems to matter but not the distance covered nor the intensity. If you sustain the effort to the point where you can still talk but can't sing, you're fine.
As with certain medications, however, the benefits may be in proportion to the dose: The more severe the symptoms of depression or anxiety, the more regular and intense the exercise required. An hour of spinning is probably superior to 20 minutes of steady walking. Still, the worst scenario would be to try spinning, get overly tired, and then give up altogether. In this case, 20 minutes of regular walking would be vastly more effective.
Also, don't push too hard. Begin gently and let your body be your guide. The objective is to reach the state of flow. To do so, you must always be at the limit of your capacity and no further. (Think of the talk-but-not-sing principle.) When your capacity expands as a result of training, you will have the option—and likely the desire—to go farther and faster.
Most studies suggest that joining a group can make a big difference in terms of staying on track—answering the need for regularity that is so crucial to success.
One of the most important secrets is to choose a form of exercise that seems like fun. The more it resembles a game or a passion, the easier it will be to stick to. Many communities have informal walking clubs or basketball teams that meet a few times a week. A dance class (African, tango, salsa, tap), volleyball team, or tennis club can serve the same purpose, provided that the practice is regular. Even trapeze school or surfing lessons. But if you hate running, don't make yourself do it. You will probably not keep it up.
Finally, you can get more out of your stationary bike, stair stepper, or treadmill by watching action movies. Good examples are Speed, Ocean's Eleven, or any James Bond film (sorry, love stories and comedies don't work as well). Keep the film playing for as long as you exercise, then turn it off the minute you stop. This method has several advantages. First, action films, like dance music, stimulate the body physiologically and thus make you want to move. Second, a good plot helps you forget the passage of time. And, third, since watching the film after you stop is not allowed, suspense motivates you to begin again the next day, if only to find out what happens.
There is nothing new in the idea that we all feel better when our body is in better shape. Two thousand years ago, the Roman philosopher Juvenal emphasized the importance of having "a healthy mind in a healthy body." We've had to wait 20 centuries for science to catch up with philosophy and demonstrate that as little as 20 minutes of exercise three times a week can be as effective as a modern pill. Now it's up to each of us to put this to work in our own lives.
NEXT: Are there faster, more effective ways to treat depression?