Moving my body has been one of the most important things I have done in my life to help with the reduction of my anxiety, depression, and just overall wellness in my mental health. There is a lot of good research on this topic, and running comes up quite a bit in the literature.
I posted briefly on this topic.
If you are struggling with anxiety and depression, a good place to start may be looking for any opportunity to move your body today. Go for a short walk. Do some jumping jacks in your bedroom. Jump in your pool and do a couple of laps. Start somewhere, and you may be surprised how consistent movement over time really impacts your mental health in a positive way.