There is plenty of evidence that suggests that exercise helps with anxiety and depression, but as with everything, the devil is in the details.
Without structure, purpose, and a plan, performing intense workouts can actually increase anxiety because of the amount of stress being put on the body. Instead, try performing a majority of easy, aerobic workouts to bring more calm, clarity, and energy to your mind. Make these easy workouts meditative and you will see yourself make dramatic improvements, both psychologically and physiologically.
Sustainable aerobic fitness is the best approach to create a solid foundation of mental and physical fitness, and allow us to transcend our anxiety.