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Some studies have found that exercise boosts activity in the brain's frontal lobes and the hippocampus. We don't really know how or why this occurs. Animal studies have found that exercise increases levels of serotonin, dopamine and norepinephrine. These neurotransmitters have been associated with elevated mood, and it is thought that antidepressant medications also work by boosting these chemicals.
Exercise has also been found to increase levels of "brain-derived neurotrophic factor" (BDNF). This substance is thought to improve mood, and it may play a role in the beneficial effects of exercise. BDNF's primary role seems to be to help brain cells survive longer, so this may also explain some of the beneficial effects of exercise on dementia.
The bottom line is that most of us feel good after exercise. Physical exercise is good for our mental health and for our brains. Someday we will understand it all better -- but we can start exercising today.
_{Sources:
John Briley. "Feel Good After a Workout? Well, Good for You." The Washington Post, Tuesday, April 25, 2006.
James A. Blumenthal, et al. "Effects of Exercise Training on Older Patients With Major Depression." Archives of Internal Medicine, October 25, 1999.
Michael Babyak, et al. "Exercise Treatment for Major Depression: Maintenance of Therapeutic Benefit at 10 Months." Psychosomatic Medicine, September/October 2000}