Optimal exercise for mental health

I have had issues with anxiety and depression while, (long and boring story). I'm generally better now, partly due to meds, partly exercise and general lifestyle changes. (I'm doing Starting strength and bits and pieces of cardio presently).

I notice my anxiety is worse when I don't exercise. I know its something to do with adrenaline levels but im not sure of the science, feels like something different from endorphin rush as its longer term.

So basically I was wondering what the mechanism is behind this, and how do I get more of it? So what are the best exercises for it?