Recovering young MGTOW here. Let me first clarify that this is not a r/theredpill "lift bro" kinda article.
About me : I am chronically depressed and have anxiety disorder. My girlfriend dumped me. My grades were down the drain . I was 18 at that time and my physical strength & T level was that of a 45 year old man.
For some unknown reason, I found myself walking with my friend everyday in the morning (he was trying to lose weight so he wanted me to tag along). Eventually started running and finally discovered the benefits of cardio. After an year (now), most of my mental problems, especially depression and anxiety were brought down. I now have a positive outlook on life but I'm still "recovering"
Why you must exercise: Read this first. This article explains the mind-body connection and how mental health is linked to physical fitness.
This research article did a very good job in explaining the importance of physical exercise. To be honest I have nothing else to add.
[I can repeat the same things mentioned in the article but it's a waste of both of our time.]
Final words: There's no need to hit the gym right now and start lifting 20 pound dumbbells (who are you trying to impress?). Start with something subtle such as walking/jogging everyday. In fact, for the first 3-4 months there's no need to do anything else except jogging and running.
Don't blame me if you become an addict!