That exercise reduces anxiety is known, but little is known about exactly how. Researchers from Princeton University have found that exercise increasing activity of local inhibitory (GABA) mechanisms in the ventral hippocampus. Results appear in Journal of Neuroscience.
Schoenfeld, T., Rada, P., Pieruzzini, P., Hsueh, B., Gould, E.; Physical exercise prevents stress-induced activation of granule neurons and enhances local inhibitory mechanisms in the dentate gyrus. Journal of Neuroscience. 2013 May 1;33(18):7770-7. doi: 10.1523/JNEUROSCI.5352-12.2013.