Exercise improves our mental health in multiple ways that are proved by health care professionals. One way includes better sleep/decreased insomnia which leads to reduced tiredness. Stress, anxiety and depression relief can also be some of the ways exercise improves your mental health. Another way exercise can help is improvement in mood and increased mental awareness. There are many scientific factors that play into how exercise helps us mentally including releasing endorphins or increased blood circulation to the brain.
For more reasons why exercise improves our mental health and in what ways it does go to NCBI.