When you exercise, your body produces something called endorphins (it's sort of like morphine), and it makes your body feel less pain and make you feel more happy. In this case, the endorphins combat your stress and make you feel better mentally.
Exercise and other physical activity produce endorphins—chemicals in the brain that act as natural painkillers—and also improve the ability to sleep, which in turn reduces stress. Meditation, acupuncture, massage therapy, even breathing deeply can cause your body to produce endorphins.
