This is a finding that keeps coming up, and I've certainly found it true in my life, but there's a significant chicken-and-egg problem in that depression frequently precludes the motivation to exercise, and if you don't already have a deeply-disciplined routine to overcome the lack of motivation, people won't do it. Exhortation to develop those good habits in the good times, I suppose.
Nail on the head. I know that exercise will make me feel better, but during a period of depression/grief I could not even get out the house.
Seems like this has been my story:
Severe prolonged stress floored me. Turns out that the autonomous control of bronchoconstriction and dilation had gone out of wack, into dysregulation. My lungs were basically clamped shut. (Muscular tension and sundry dysregulation from severe prolonged stress makes sense, right? Applies to the lungs too!)
Exercise worked when I could get myself to do it... because exercise forces lungs to open.
And the nervous system and brain, well it requires lots of oxygen. In order to learn. And unlearn.
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edit: Also interesting: Ketamine therapy worked. And... ketamine is a bronchodilator!