Besides having physical health benefits regular exercise also has mental benefits. According to this infograpic it has the twelve following benefits:

• It will make you feel better
• Releases Tension
• Builds Confidence
• Increases Pain Tolerance
• Improves Brain Capacity
• Improves Character
• Develops Self-Discipline
• Aids in Substance Addiction Recovery
• Combats Depression
• Reduces Anxiety
• Produces a Natural High
• Improves Concentration

source: http://www.treadmillreviews.com