Does exercise actually help with anxiety and depression? Real talk

There is a direct link between one’s psychological well-being and physical fitness. In certain instances, exercising on a consistent basis, particularly engaging in aerobic exercises, can have the same effect as taking medication to treat depression and anxiety. The question is how does exercise affect mental health: through endorphins, BDNF, lowering cortisol levels, or social interaction? Which kind of exercise is most effective for this: running, lifting weights, yoga?