This is said so often and yet for me personally gym helps only very temporarily - just after workout I feel great, but the next day anxiety might kick-in again.
There is a fill-up effect (what you describe) and a build-up effect (repetition on the long run).
It's like a capacitor discharging[0], so at first you have to recharge it often† to not go under the anxiety threshold, but with time it holds more charge, and charges better, so it discharges much more slowly thus reaching the threshold much less often, if at all.
† Part of why it may be important to workout for shorter times/intensity, but more often.
The research we have says exercise is moderately better than doing nothing, unless you only include good quality research in which case the benefit is harder to see.
Thanks for posting this. The conclusion on that page is:
> Exercise is moderately more effective than a control intervention for
> reducing symptoms of depression, but analysis of methodologically robust
> trials only shows a smaller effect in favour of exercise. When compared
> to psychological or pharmacological therapies, exercise appears to be no
> more effective, though this conclusion is based on a few small trials.
My personal take is that the big things to note are:
1. Reducing symptoms of depression is not the same thing as treating depression.
Thus, if you exercise and it works for you to reduce the symptoms, you aren't "better," you just aren't feeling as depressed. This is valuable in its own right, as the symptoms of depression can interfere with you seeking actual treatment... But it is not helpful if you think you're better, stop exercising for some reason, and fall back into depression again, possibly with a side-order of pessimism that nothing seems to work.
2. Exercise is not more effective than psychological or pharmacological therapies.
Although they say there are only a few trials to establish this, I personally feel it's quite safe to assume that it is not more effective, and as per 1 above, that it can be harmful to take an "either/or" approach to exercise and other therapies. Until someone shows me research saying that exercise in conjunction with therapy is worse than therapy alone, I personally try to do both.
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The uncomfortable truth about exercise is that a large number of people with mood disorders self-medicate their symptoms with endorphins. When that is used as an alternative to therapy, it may be harmful.
Just my 2c: consider vigorously walking for 30-90 min per day every day you do not go to the gym. This is safe (walking is generally low impact on your tendons) and can extend the duration of the feel good effect.
It's like a capacitor discharging[0], so at first you have to recharge it often† to not go under the anxiety threshold, but with time it holds more charge, and charges better, so it discharges much more slowly thus reaching the threshold much less often, if at all.
† Part of why it may be important to workout for shorter times/intensity, but more often.
[0]: https://boolscott.files.wordpress.com/2009/12/capacitor-disc...