Question: Can exercise help me cope with stress, and does it matter what kind of exercise?
Answer: You know, if you were to ask me, "What, of all the sort of behavioral -- in other words, activities that you could do that help you cope with stress, help prevent depression, and help improve physical health?"; the answer's very clear, that we know more about exercise than anything else. And a regular program of moderate exercise is bar none the best thing that one can do for one's physical and emotional health in my opinion, and there's tons of studies to back that up.
So we know that exercise is fantastic for improving your mood, reducing anxiety. It actually has antidepressant properties. In animals, exercise -- it grows new brain cells. It's remarkable the things that exercise can do.
People that exercise regularly tend to have less of a stress reaction to everything else in their life. So they've done studies where they've shown that people that exercise regularly, if you put them in a stressful situation, have less of a stress response than people that do not exercise. That's direct evidence that the benefits of exercise bleed over, not only just from being in better physical shape, but actually then translate over and allow you to be in better psychological shape.
Aerobic exercise is probably the best exercise one can do in terms of getting these types of effects although there's some evidence that things like weight-lifting, strength-building exercises also help people's mental attitude.