It does for some people, not for others.

I took up exercise during the pandemic shut in and I gotta say: I've heard enough people report that it vastly improved their mood that I believe them. But me? Nope. It's a chore every single time. Never gets easier; I just get better at dealing with the physical stress of it. Same pain and same exhaustion every time; none of that reported "runner's high" or "feeling of euphoria" other people seem to experience, and no particular change in mood week-to-week. The pain curve is flatter the more I do it (so I can go for longer periods of time before will gives out and I give a hearty "fuuuuuck THIS" to further running that day), but I still feel like crap every time I finish. I keep telling myself "It's not about feeling good; it's about being better."

The pain won't stop me, but it means it doesn't come for free.

That was also my experience until I mixed in THC and heroic amounts of mountain biking and racquetball.

For me, the conditioning had to be broken. I knew that other people enjoy working out. It didn’t make sense that I couldn’t. I came to feel that my body was lying to me, and it pissed me off.

Maybe it’s hard to boot up the endorphin process, or something. I don’t have a good explanation, but pure rage and good weed powered me through the barrier.

Absolutely. Exercise is also an activity you need to voluntarily commit to doing. The effects of mild/moderate/severe depression can make keeping up this commitment a challenge.

I know it's in my best interests to exercise and I know it makes me feel better when I do it, but when I'm feeling low it's also one of the last things I want to do.

I use the five minutes trick: "just five minutes on the treadmill", "just five minutes bench pressing, you can do it laying down!"

Usually I end up going for longer than five minutes and enjoying every one.

Not a real option for someone who's in pain.