Hey,Tom Cruise said he could cure Brooke Shields with exercise sand vitamins! (and Scientology mind-wrecking brainwashing).
But seriously, exercise is fantastic, in everyway, as long as we don't go overboard and get injured, etc.
But if you want my 2 cents, also working in all the other ways is important. (I guess this should be in the Recovery threads?). But anyway.
Many people have mentioned Cognitive Therapy, which does work for many people.
If you look at this model below from CT, it does show that just by doing exercise, that Behavior will impact your Body-Somatic, which then affects your Emotions and Thoughts as well.
(something like losing a job would be in the Environment category in the model)
That is from a great book called "Mind Over Mood" by Christine A. Padesky, PhD.
I would highly recommend checking this book out from a library, or wherever. Its very clear lets a person get started quick.