The largest known study of its kind included 1.2 million people, showing team sports, gym workouts, cycling, and aerobics were associated with the most benefits.
Dr Dean Burnett, neuroscientist and honorary research associate, from the school of psychology at Cardiff University, said the link between exercise and mental health had been hard to pin down but this large study "strongly suggests that there is a definite association between the two".
Among the 75 types of exercise recorded, all types were linked with better mental health.
A study that was published in The Lancet Psychiatry journal further confirmed that physical exercise leads to better mental health. Exercising for 45 minutes 3-5 times per week was associated with the greatest decreases in poor mental health.
"Depression is the leading cause of disability worldwide, and there is an urgent need to find ways to improve mental health through population health campaigns", said Dr. Chekroud. "Exercise is associated with a lower mental health burden across people no matter their age, race, gender, household income and education level".
They included more than 1.2 million people from the US who were investigated based on the influence of the exercise duration, type, intensity and frequency on the mental health.
"Excitingly, the specifics of the regime, like the type, duration, and frequency, played an important role in this association".
Depression was the only mental health taken into account during the study. Many studies suggest that exercising helps people solve a mental health problem and boost their well-being.
People who exercised had 1.5 fewer "bad days" a month than non-exercisers, the study found. "I suspect we all know people who seem "addicted" to exercise and if this starts to impact on other aspects of life - like foregoing social activities because one has to be up at the crack of dawn to run several miles - it might actually be bad for people". In addition to this they also recorded how often they had exercised in the past 30 days and the number of times a week and how long they did this exercise. These activities can lower mental health burdens by 20 to 22 percent.
Exercising for 30-60 minutes was associated with the biggest reduction in poor mental health days.