I always hear that the gym is the solution to everything, that you go to the gym and it'll magically make you feel better. But I have never once felt better after I went to the gym. It just makes me feel sore and exhausted and miserable.
Not necessarily the gym but any exercise. You have to keep at it and after a short while those exercises/fitness training (whatever you choose) starts releasing chemicals which liferally make you feel better.
This feeling is both emotional and physical, I now come out of exercises with a smile on my face and my body literally feeling amazing despite my arms or legs trembling from the exertion.
If you want the benefits, all you need is the commitment to do it a few times a week and you'll immediately start noticing how your body reacts differently.