I think I'm not qualified to talk about other people's mental health, but I haven't noticed much of a difference between periods when I exercise consistently and those where I don't. I'd always recommend people throw everything they can at chronic anxiety though, and consistent exercise is a win in its own right.
The devil is in the details with exercise, just as it is for nutrition. There are so many ways to do exercise that ultimately increase anxiety; over the years I've had exercise regimens that made sleep difficult, or created increased inflammation (through oxidation, brief injuries or by being more careless with food/drink), or by increased muscle tightness, or lead to me not getting ahead at work because of time spent exercising. I find I have to be very clear on my exercise objective. Six Ironmen and many marathons later, I see I easily get caught up in athletic targets that are not helpful to my life goals.
