The report being released by the Mental Health Foundation, a UK-based charity, found that taking part in regular physical activity can both increase self-esteem and reduce stress and anxiety.
It can act as both prevention and treatment for various mental illnesses including depression and anxiety.
"One way to enhance our mental well-being and protect our mental health is through participating in physical activity," it stated.
Those who exercise regularly have a 20-30 per cent lower risk for depression and dementia, The Independent reported.
"People should choose a type of physical activity based on what they enjoy doing," it said.
The report also warned that most people are not doing anywhere near enough exercise, with just 40 per cent of men and 28 per cent of women in the UK managing the two and a half hours a week recommended by the National Health Service (NHS).
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