If an action is going to minimise anxiety and depression in the long run, then it's what you want to do, so no mind-games and lying to yourself should be required.

It is all mind games. I feel like you are leaning on a negative association to the phrase rather than making an argument. If you say "I don't feel like I want to do a thing, but doing that thing will minimise anxiety and depression in the long run, therefore I do want to do the thing" that is definitely a mind game. It is also a good way to be happier and more satisfied in life.

So you do what is in your long term best interest at all times?

I live in Las Vegas and it feels like my entire city was built on the backs of people who are unable to think in accordance with their long term plans.

Albert Ellis wrote some interesting stuff about this. He called it "long term hedonism." https://albertellis.org/yolo/

And yet many people find them necessary for e.g. exercise.

If they are what's required to improve, then do them. Recognize when you no longer need the lies and move on.