Caveat: This is true only after you get over the initial, minor and yet discouraging hump where exercise is only tiring. Ramping up is key, and don't let anyone dictate how slow / easy you start. Then increase gradually, where how gradual is determined by how much better you think you can do.
I had to start running slower than the slowest part of the couch-to-5k program (a.k.a the most newbie program to get into running) to get my breath and body used to it. Now I can run 5k no problem.
I started by running to the store and buying something (juice, food, whatever). It may not have been the most efficient way to exercise, but it created a Pavlovian feedback mechanism.
also: the "good" feeling is caused by neurotransmitters being released/binding to post-synaptic vesicles in the brain. Thinking about this really helped me overcome some hard times/feelings/emotions
I had to start running slower than the slowest part of the couch-to-5k program (a.k.a the most newbie program to get into running) to get my breath and body used to it. Now I can run 5k no problem.